First of all, it is not really a Windows Virtual Desktop problem, this has been a Microsoft Windows setting for many years now. However, when publishing a Desktop or a RemoteApp from a Windows Virtual Desktop host pool where the session host VMs running Windows 10, there are no visible borders around the windows by default. For example, see the blow screenshot. A File Explorer window is open, with on top of it the Microsoft Paint application. You cannot see where one window ends and the other one starts.