This policy is only a part of the Horizon Client 5.0 release.
The idea is to have your company’s custom error message. You could place the URL of your Helpdesk or instructions on filing a service request or helpline number or a link to the FAQ or anything else you wish.
Please note this a client-side group policy and will need to be pushed for the endpoints instead of virtual desktops. Since it is based on a group policy, it is not applicable for non-Windows endpoints such as iOS, Android, non-Windows thin client or Zero Client.
It is implemented as a simple group policy as shown below.
The following is the end-user experience.
I hope it helps.