On host machine:
- Press Win+R type gpedit.msc and hit enter
- Go to Computer configuration > Administrative templates > Windows Components > Remote Desktop Services > Remote Desktop Connection Client > RemoteFX USB Device Redirection
- Select the only GPO there and Enable it and change the access rights to "Administrators and Users"
On VM:
- Press Win+R type gpedit.msc and hit enter
- Go to Computer configuration > Administrative templates > Windows Components > Remote Desktop Services > Remote Desktop Session Host > Device and Resource Redirection
- Select GPO "Do not allow supported Plug and Play device redirection" and disable it
Reboot both machines and voila you can redirect anything to VM. When you connect via RDP a third icon next to Connection info icon will show up click on that and you can select anything local to be redirected to RDP.