You must specify a file from the RD Session Host server {0} by using the UNC path; for example \{0}\c$\path\filename.exe. ...

You must specify a file from the RD Session Host server {0} by using the UNC path; for example \\{0}\c$\path\filename.exe.
If the problem persists, ensure that the following Windows Firewall exceptions are enabled:
1. File and Printer Sharing (SMB-Out).
2. File and Printer Sharing (SMB-In).