Example, you want to disable the Windows+X hotkey.

It is recommended to use the TSplus generated clients.
When using application publishing, it will execute the Windows key combinations on client side, not server side.

However if you don't want to use the TSplus generated clients, you can configure the mstsc shortcuts (.rdp) to deal with key combinations.

In the Windows RDP client, in local ressources, do this:
And save the shortcut.

You can also create a script with AutoHotKey and convert to exe.
Then have this script execute when the user sessions opens, by adding it to C:\ProgramData\Microsoft\Windows\Start Menu\Programs\StartUp