Have you looked at this knowledgebase article?

https://support.na.sage.com/selfservice/viewdocument.do?noCount=true&externalId=44671&sliceId=1&isLoadPublishedVer=&docType=kc&docTypeID=DT_Article&stateId=7121&cmd=displayKC&dialogID=365322&ViewedDocsListHelper=com.kanisa.apps.common.BaseViewedDocsListHelperImpl&openedFromSearchResults=true

Thanks for the answer!

I wonder how could I miss this because I searched several times.

Apparently this solution is not for RemoteApp environment. We worked with Sage support and the issue is fixed now.

Here is the solution/fix for other users.

When you add new user to Active Directory and try to connect to Sage using RemoteApp RDP file from remote workstation you see this error box because that new user does not have appropriate access to Sage folder on your server, even if you grant admin (Domain Admin) rights to this new user (btw, I still don't know why this happens and what kind of access it needs).

To fix this you have to remotely connect to server (Remote Desktop) using new user's credentials, uninstall Sage workstation and reinstall it back.

Now your RemoteApp RDP file should work.