Azure RemoteApp saves user identity and customizations across devices and sessions. This user data is stored in a per-user per-collection disk, known as a user profile disk (UPD). The disk follows the user and ensures the user has a consistent experience, regardless of where they sign in.
User profile disks are completely transparent to the user — users save documents to their Documents folder (on what appears to be a local drive) and change their app settings as usual. At the same time, all personal settings persist when connecting to Azure RemoteApp from any device. All the user sees is their data in the same place.
Each UPD has 50GB of persistent storage and contains both user data and application settings.
Where does Azure RemoteApp save user data and settings?
myZure™ Data Storage - Claims Data on Azure