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.