It depends what you want to do...
If you select Remote Desktop Services Installation, it will deploy a RDS farm which include the following roles:
Broker, Web and a Session Host.
If you select Role-based of feature-based installation, you can select roles individually.
The license server role can be added manually on any other server. You can add the license server in your RDS farm using Server Manager or on a Session Host individually using GPO.
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