Since a couple of weeks the documentation around the support of SharePoint Online and OneDrive for Business is changed. So I want to describe the current support state is this short blogpost. The Azure RemoteApp documentation is updated and now states ‘OneDrive for Business is not supported with Azure RemoteApp’. You can find this information here. This information also applies to Remote Desktop Services which is described here. But some remarks can be made to these statements and I want to describe them here.

Both of the above statements apply to OneDrive for Business sync client. That client is not supported in RDS and Azure RemoteApp. So in both scenarios (Roaming Profiles and User Profile Disk) this client is not supported by Microsoft. You can vote on this functionality on uservoice, the link to the item is: https://onedrive.uservoice.com/forums/262982-onedrive/suggestions/14877270-add-support-for-rds-and-azure-remoteapp. Beside the use of the sync client OneDrive for Business can be used in other scenarios which are supported by Microsoft. The following scenarios are supported:

• Using OneDrive for Business as mapped drive; This scenario is supported but Microsoft discourage the use of this scenario.
  
• Using OneDrive for Business with built-in Office functionality; With Office 2013 and 2016 you can use OneDrive for Business and SharePoint Online from the built-in functionality within Office. This scenario is completely supported and can be used within Azure RemoteApp and RDS deployments.

  See below a picture of the OneDrive for Business and SharePoint integration from Office 2016:

  
  

The conclusion is that the Sync client is not supported on Azure RemoteApp and RDS but OneDrive for Business and SharePoint online can be used with the built-in functionality of Office 2013 and 2016.