Recently had an issue where I spun up a new session host for an existing collection and added it and Users logged into the server via the gateway where not getting their UPD. Logging into the server direct instead of the gateway they were above to get their UPD

Source Event ID Task Category
Error 27/03/2014 21:55:57 Microsoft-Windows-TerminalServices-RemoteConnectionManager
20491 None  Remote Desktop Services could not disconnect a user disk for the user account with a SID of S-1-5-21-3629416733-2688236061-3029337882-1142. The error code is 0xAA.93

ID 20494

Remote Desktop Services could not obtain a user profile disk for the user account with a SID of [SID]. Verify that the user profile disk location is accessible, the server’s computer account has read and write permissions to it, and that the location has a user profile disk template file present. The error code is 0x2.82

ID: 20493

Remote Desktop Services could not apply a user desktop for a user account with a SID of [SID]. A temporary profile was enforced for the user. Verify that the user profile disk settings are correct. The error code is 0x2.82

ID 20494

Remote Desktop Services could not obtain a user profile disk for the user account with a SID of [SID]. Verify that the user profile disk location is accessible, the server’s computer account has read and write permissions to it, and that the location has a user profile disk template file present. The error code is 0x2.82

Turns out the RDConnection broker need a cert to be able to distribute the UPD’s to a session host