When using App Volumes with application publishing, the package must be attached to the RDS host at startup. This makes the program(s) contained in the package available to users who access the RDS host. Because of this, only assignments to the computer object (direct or using the OU where computers objects reside) are supported with RDSH.
After you assign the package to the machine object, the RDS host must be rebooted so the package can be attached at startup. Have you tried rebooting the RDS host(s) after assigning to the OU?
If you're still having trouble, please post manager and agent log snippet when the error occurs.