It seems there is an issue with the Right-click context menu on the PC and VDI Client.
It appears to be a user permissions rights preventing the context menu to be added correctly.
Our developers is looking into the issue to check.
We will update this article as soon as we have any updates.
*** UPDATE ***
If you experience the mentioned issue, please run these commands in CMD on your machine.
1. Installer.exe /U /C 2 /G (installer.exe can be found here %localappdata%/rushfilesV2)
2. Installer.exe /C 2 /G
Restart your machine and the right click context menu should now be visible.