For the users, who has never logged on to VDA before,when they launch published application, the border of the app is gray. And the theme for that user is "not saved". This issue does not occur via RDP connection.

For windows2012 standard:

Create below GPO:
User Configuration :> Policies :> Administrative Template :> Control Panel :> Personalization :> Load a Specific Theme:>basic.theme

Local Computer Policy > User Configuration > Windows Settings->scripts (Logon/Logoff), and then double-click logon.add runonce.exe and /AlternateShellStartup

For windows 2012R2 or windows 8.1
besides above polices, following policies are also needed:

Configure Group Policy Caching = disabled. 
Configure Logon Script Delay = enabled, 0 minutes. 
Configure User Group Policy loopback processing mode = Enabled, either Merge or Replace depending on the desired result.