I don't believe this is possible or at least I'm not aware of client drive redirection being available in the published Horizon App documentation. The main problem you are facing is an architecture one. The Horizon Client is encapsulating a Microsoft RDS App being published on the RDS server and delivering it to the client. If you enable client side drive redirection on the RDS server via GPO, it likely will still not work because it is up to the Horizon Client to present the local client drive.
That's what I was afraid of. I was hoping that the View Agent on the RDS host would be able to somehow redirect calls to the local disk and open the client instead.
I guess the best thing I can do is just lock down the RDS host as much as I can.