1. Redirect the OST file.  Is it a waste of space?  Yes, but it keeps your users happy.  Here’s how to do it via GPO.  A couple things to keep in mind when you do this: First, redirect it to a SSD basedfile share, preferably on the same datastore as the virtual desktop itself.  It is apparently a supported configuration based on this thread.
2. ODBC Connections.  Preserved with one additional entry: HKCU\Software\ODBC.  Add it to the Regedit section under Windows Settings.
3. Num Lock on.  This is one of those small ones that will drive users crazy.  This key preserves the setting: HKCU\Control Panel\Keyboard
4. Remote Desktop Connections.  Avoid being prompted to trust the cert each time you connect to a remote server: HKCU\Software\Microsoft\Windows\Terminal Server Client
5. UEM can’t preserve any data in %ProgramFiles%.  So for poorly developed applications, locate where the user settings are stored within Program Files.  When located, here’s a quick PowerShell script to copy the file to a user’s network share and then restore the file.

Backup a file to a network share.  Add this as a Logoff task in UEM:

$remoteLocation = "\\UEM\share\Users\" + $env:USERNAME +"\Subfolder"
Copy-Item -Force 'C:\Program Files (x86)\Subfolder\file.ext' -Destination $remoteLocation

Restore a file from a network share to the new virtual machine.  Add this as a Logon Task in UEM:

$remoteLocation = "\\UEM\share\Users\" + $env:USERNAME +"\Subfolder\file.ext"
Copy-Item -Force $remoteLocation -Destination 'C:\Program Files (x86)\Subfolder'