If I can offer some advice as someone who had to troubleshoot similar issues with other finicky software that worked fine when you RDP into the session host but failed when ran from WVD:
Create a Desktop Application Group. Launch the desktop, then try to launch the app. See if it works then. I was forced to use WVD Desktop Application Groups and serve up the entire desktop for some of our most finicky software.
Run this when RDP'd into the session host, then again when you launch the application from a WVD Desktop. ProcMon should tell you exactly where it's failing. Tracking down the error from there is more art than science, but it should point you in the right direction. I've found that 90% of the time it's registry or file system permissions.