We've started a pilot of Windows Virtual Desktop using the Windows 10 Multi-User image from the gallery. So far its going great, but we've run into a snag with setting up work folders. From the operational logs, it looks like it's an issue with indexing/windows search. Our experience has been that it does not work and we haven't been able to find any documentation stating whether it should or should not.
@Luis0 I'd recommend opening a support case to troubleshoot and see if it's search indexer related. Have you considered using Onedrive for Business instead of Work Folders? Also - which version of Windows 10 Enterprise multi-session are you using, 1809 or 1903?