We're migrating users from GroupWise to on-prem Exchange 2016 and Outlook 2016 (from Office 2016 Pro) on Server 2016 with Remote Desktop Services. We use this ZeroConfigExchange configuration, and indeed the first time users launch Outlook it opens directly to their mailbox bypassing the wizard and creating an Outlook profile in the process.
One issue we found, is the Send-To -> Mail Recipient feature is broken. There is just a flicker of activity and then nothing happens. But if we use the Control Panel Mail app to create the Outlook profile manually, the Send-To Mail Recipient feature begins working (Outlook launches and opens a new email with the file attached). We've reproduced this at will, and even exported and compared the initial Outlook profiles, and they're different. The manually-created profile contains 3 additional keys compared to the automatically created profile.
When we drop the creation of the profile key HKCU\Software\Microsoft\Office\16.0\Outlook\Profiles\Outlook (leaving the …\16.0\Outlook\Profiles branch empty), and keep the DefaultProfile value set to "Outlook", Outlook 2016 will still create the Outlook profile, and in the way that keeps the Send-To Mail Recipient feature working.
Additionally, our users are logging onto Server 2016 RDS for the first time, receiving new Windows profile settings, just prior to opening Outlook 2016 for the first time. The Outlook 2016 app has been granted all its Defaults under Default Programs, and HKLM\Software\Clients\Mail "(Default)" value is set to "Microsoft Outlook".