I have a quick and interesting update on this.
Forgot to mention in the original post that we're using SSO so that the creds entered in the zero client are passed through to the Windows VM. I tried adjusting the setting (Global Settings\General Settings) to discard SSO creds after XX minutes to something much lower than the screensaver but with no luck.
I was stumped but just observed something interesting... I'm looking at the events in the connection broker and see where I logged in, selected my VM pool and was even assigned WorkstationXX. The machine is currently waiting for me to click OK to the logon banner/message- However, the connection broker does not show me and/or the workstation assigned in a session! But you just told me that I was assigned a workstation!?!
This leads me to think that there's a new feature/hiccup in how Horizon detects sessions.
Strangely, I do get an event in the connection broker later on showing that my SSO credentials are locked (still no session). And when I return to my client, the screen IS locked, but after hitting CTRL-ALT-DEL, I get back to my banner and hitting OK takes me right into Windows.