Segundo a Microsoft, isso não é um bug, mas sim um recurso introduzido com as alterações feitas no Remote Connection Manager (RCM) no Windows Server 2016.
Citando link :
Starting in Windows Server 2016, RCM no longer queries the user’s object in AD DS. If you require RCM to query AD DS because you are using the Remote Desktop Services attributes, you must manually enable RCM. Use either of the following registry values to enable the behavior of RCM in Windows Servers 2012 R2 and earlier versions
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Use either of the following registry values to enable the behavior of RCM in Windows Servers 2012 R2 and earlier versions:
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows NT\Terminal Services
Name: fQueryUserConfigFromDC
Type: Reg_DWORD
Value: 1
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Terminal Server\WinStations\RDP-tcp
Name: fQueryUserConfigFromDC
Type: Reg_DWORD
Value: 1