Policy is applied successfully on all RD session hosts.
And I think that policy works correctly. Because there is no more than one user's session on the same RD session host server. User has sessions on different RD servers.
Moreover, I see in logs that connection broker finds existing user's session but creates a new one:
rduser connects for the first time and is redirected to the server RD2:
RD Connection Broker received connection request for user MYDOMAIN\rduser.
Hints in the RDP file (TSV URL) = tsv://MS Terminal Services Plugin.1.RD
Initial Application = NULL
Call came from Redirector Server = RD1.MYDOMAIN.com
Redirector is configured as Farm member
RD Connection Broker successfully processed the connection request for user MYDOMAIN\rduser. Redirection info:
Target Name = RD2
Target IP Address = 192.168.253.151
Target Netbios = RD2
Target FQDN = RD2.MYDOMAIN.com
Disconnected Session Found = 0x0
This connection request has resulted in a successful session logon (User successfully logged on to the end point). Remote Desktop Connection Broker will stop monitoring this connection request.
Session for user MYDOMAIN\rduser successfully added to RD Connection Broker's database.
Target Name = RD2.MYDOMAIN.com
Session ID = 72
Farm Name = RD
rduser connects from another machine:
RD Connection Broker received connection request for user MYDOMAIN\rduser.
Hints in the RDP file (TSV URL) = tsv://MS Terminal Services Plugin.1.RD
Initial Application = NULL
Call came from Redirector Server = RD1.MYDOMAIN.com
Redirector is configured as Farm member
Connection broker finds existing session:
RD Connection Broker successfully processed the connection request for user MYDOMAIN\rduser. Redirection info:
Target Name = RD2
Target IP Address = 192.168.253.151
Target Netbios = RD2
Target FQDN = RD2.MYDOMAIN.com
Disconnected Session Found = 0x1
But Connection broker redirects user to another server RD1 with another session ID:
Session for user MYDOMAIN\rduser successfully added to RD Connection Broker's database.
Target Name = RD1.MYDOMAIN.com
Session ID = 75
Farm Name = RD