When you are on the server and want to list active session using Get-RDUserSession command, you can see an error telling you that your have no RDS installed (even on RDS session broker), like the one below: Don't be fooled by this - it shows only because you don't have enough privileges. Just run Powershell session as an administrator and bam! You can see desired list. BTW: My small advice here - if you see PS errors, but you're sure, that cmd-let should work, check it with elevated privileges.
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