Quote from that link here:
We are in the process of documenting how to auto-start OneDrive in a Remote App scenario.
We will be documenting the following registry entry:
HKLM\SYSTEM\CurrentControlSet\Control\Terminal Server\RailRunonce
I believe this works the same as the regular run keys, except that anything listed under this key will be launched when the remote session starts.
What happens is that in a remote session, Explorer.exe is not used as the Windows shell. rdpshell.exe is run instead. rdpshell.exe does not process Run entries. It does do the RailRunonce key though.