Thanks a lot Microsoft, keep up the good work :-).
Just have tested with Remote Desktop Client (msi version), Windows App client, and web client from a device with OneDrive sync client installed. Works like a charm, as described in the instructions. One point of feedback, the documentation states that KB Article 5039302 must be installed, however this update can only be installed on preview builds ;-). For GA versions an up to date patched session host will do.
I have also tested with a system without OneDrive client installed, and still OneDrive in RemoteApp session works flawlessly as well but without the OneDrive companion of course.
An other thing to mention, if you are working with GPO's, ensure you have updated the "TerminalServer.adml" and "TerminalServer.admx" files in your GPO Central Store to enable "Enable enhanced shell experience for RemoteApp" like the documentation instructs you to do. For your information, this setting is not present in Intune yet!