"This theme can't be applied to the desktop"

I'm currently configuring a new Windows Server 2012 R2 RDS environment for my customer to migrate to from their existing Windows Server 2008 R2 TS farm and this error message had been bothering me for quite some time: "This theme can't be applied to the desktop"

The error message appeared every time a user tried to start a RemoteApp program from the new RDS environment. The investigation concluded that a new user which had never logged in to the old TS environment did not get the error message, only users with an existing profile. Users were logging in from Windows 7 workstations/laptops. After some testing with various GPO settings under User Configuration\Administrative Templates\Control Panel\Personalization I discovered that forcing all users to use the Aero Theme solved the problem.

Under User Configuration\Administrative Templates\Control Panel\Personalization configure the setting "Load a specific theme" with "%windir%\Resources\Themes\aero.theme"