t only applies the setting when linked to the OU of the user
We'll according to that screenshot, it IS a user setting.
Yeah. I want all users or a group of users who login to the RD00 server (and only this server) to have this GPP modifying HKCU to apply. Is it even possible?
Yes, it's possible.
Ensure the GPO is applying to the user. For example, if User1 is in the Company > Users OU, then make sure that GPO is either in Company or Users OU and the Users OU is inheriting the GPO. Verify with RSOP and gpresult that user is getting the policy.
I think, but it's been awhile since I did much with AD GP... (like you are in the screenshot) use item-level targeting to the server name.
Test it by having one of the in-scope users log on to a difference server, run gpresult and see if it's applying, then try it on the targeted server and see if it applies then.