User profile disks for RDP session hosts are VHD files used to store the users profile information so that it can roam with the user between session hosts. By default the UPD’s are mounted on the session hosts at login, and appear as symlinks under the C:\users folder so that applications can access them using standard profile paths, this all works fine without any setup required. There may be some occasions where you need to change where these are mounted, for example in an Azure hosted RDS environment I needed to have these mounted under the temporary D drive so that access to the C drive could be completely locked down.
I’ve been doing a lot of working lately with running Remote Desktop Service (RDS) in Azure and have been fairly frequent errors relating to Excel, one of the applications we are publishing. This error would manifest as an error when launching Excel which seemed to indicate that Excel had run out of memory or disk space. After investigating memory and disk usage to no avail, all looked fine, I stumbled upon the answer, user profile disks.