Folder Redirection is a user setting. Under normal circumstances, GPO's linked to the OU (or the domain) where the user objects exist are applied to the users regardless of what computer they log on to.
The solution to this is to enable loopback policy processing in Replace Mode in the user settings of the GPO linked to where the TS/RDS computer object exists. This will cause Group Policy to apply the user settings from the GPO linked to the OU where the TS/RDS server exists instead of applying the user policies from the GPO linked to the OU where the user objects exist.
If the TS/RDS server is in the default Computers container then you'll need to create an OU for the server, move the servers computer object to the OU, and link your TS/RDS GPO to this OU.