On a Windows Server with RDS feature enabled, you might encounter an issue with Windows Update Coordinator being stuck at "Please wait while the application is preparing for the first use" during a program installation. This problem is very easy to resolve with Group Policy Editor (either locally through gpedit.msc or Domain Group Policy).

Navigate to Computer configuration > Administrative Templates > Windows Components > Remote Desktop Services > Remote Desktop Session Host > Application Compatibility and enable the setting "Turn off Windows Installer RDS Compatibility".

After installing the program, I would recommend re-enabling Windows Update Coordinator by disabling the GPO setting or leaving it at "Not configured".

If you have users complaining about incomplete search results on RDS Server 2019, especially in Outlook, this registry key might fix the problem. It did fix mine.

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows Search

DWORD EnablePerUserCatalog 0

This will create the index database under C:\ProgramData\Microsoft\Search\Data\Applications\Windows rather than in the user's AppData folder. It should look something like this: