You want to keep registry settings for a user when using load balancing.
Because you have noticed that if a user updates a setting that writes to HKCU then logs off and logs on and is pointed to a different server, the setting is gone.
You will need to write this registry setting at the logon of your user session.
This can be done by using a scripting tool such as autoIT, Qix, or powershell.
You can use the local GPO to add a logon script that will be executed at logon, this GPO is located into Local Computer Policy / User Configuration / Scripts (Logon/Logoff)
You can also create a script, name it logon.bat file and copy it into C:\Users\<name of the user>\AppData\Roaming
This script will be executed for the user at logon.