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Hi,
If a security group has permission to access a session collection, it is automatically added to the local Remote Desktop Users group on the RDSH servers that are part of that collection. For example, say you open Server Manager -- RDS -- Collections -- <yourCollection>, edit the collection's Properties, and grant Domain Users access to the collection. Behind the scenes this will add Domain Users to the local RDU group on all of the RDSH servers that are part of that session collection.
If this is a server where you have manually installed the RD Session Host Role Service and it is not part of a session collection, then you would need to add users/groups to the local Remote Desktop Users group using Computer Management or other technique.
Thanks