It depends on the situation I think. If you are managing the complete user environment with VMware UEM, I suggest it will be logical to apply folder redirection from within UEM. This way you can have a nice separation where the User part that is only managed within UEM and the system with GPO and/or a deployment tool.
If for some reason, you need multiple folder redirection settings for different sets of users, you have the ability to use the powerful conditions of UEM.
Hope this helps?