Deploying apps to Windows 10 multi-session is almost the same as deploying apps to normal Windows 10 but there are some quirks. One of these quirks can cause some MSI installers to fail.

I first saw this installing IBM SPSS 26 for use in WVD

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Windows Installer Coordinator

Please wait while the application is preparing for the first use

What is the Windows Installer Coordinator? It is a component, enabled by default on multi-session Windows, that stops multiple MSI installs from running concurrently. docs.microsoft.com has a good write up about this feature on RDS machines

A multiple package installation using the MsiEmbeddedChainer table fails if the Remote Desktop Services role is enabled.

The work around on support.microsoft.com is to

disable the Remote Desktop Session Host Windows Installer for the duration of the installation.

The article above describes using Group Policy to fix this issue, but a registry change will also work.

Import this registry file before installing the affected app and the error will be gone, no reboot required

A number of other products from major vendors are affected by this such as IBM Spectrum Protect, Sage 50 and MYOB.