If you're gonna set it up and tell individuals which server to sign into then no you should be fine, it's the same as if you were setting up individual desktop installs and having all installs point to one shared set of dictionary files. Now if what you're looking for is a more robust install where it gets load balanced between servers based on usage then you'll need to setup is a RD Connection Broker service and Session Hosts which will lead you down a slightly more complex install. Granted that's if you're on 2012 servers but that's more of Windows Server 2012 documentation question, I've never setup a Connection Broker so I can't help a whole lot there but I know Google University is a click away :)
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