Windows Key + E not working on RDS

I have a RDS farm with Windows Server 2012 R2 Users want to use the Win + E key combination.

I have Disabled the following GPO:

Tu off Win + X hotkeys. Keyboards with a Win key provide users with shortcuts to common shell features.

For example, pressing the keyboard sequence Win + R opens the Run dialog box; pressing Win + E starts File Explorer. By using this setting, you can disable these Win + X shortcut keys.

If you enable this setting, the Win + X shortcut keys are unavailable.

If you disable or do not configure this setting, the Win + X shortcut keys are available.

Win + S, Win + D are working. But Win + Edoes not

When I use Win + E I'm getting an error: the Action is restricted by the Administrator

Is there an other GPO setting or Registry setting where I can enable this ?