I have recently noticed an issue with some clients using RDS whereby they're not able to open up the Start Menu when signing into a Session Host.
The following Event Log was reviewed:
We noticed that this was caused by Windows Firewall rules which were left over from when users sign in and out of the Session Host.
We were able to resolved his by navigating to the following location in Regedit:
Computer\HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\SharedAccess\Parameters\FirewallPolicy\FirewallRules
Once you're in this location, you'll see a massive amount of firewall rules in between { }. Go through and delete all those rules, leaving only the standard Windows Firewall rules there.
Once this is done, that issue should then resolve itself. You may need to log off and back on, however there shouldn't be a need to restart the server.
If you still have issues with this you can create a new DWORD with the following:
DeleteUserAppContainersOnLogoff=1
Save it here: Computer\HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\SharedAccess\Parameters\FirewallPolicy