In Windows Server 2016 Terminal session you can't change the DPI for the displays. As I know this configuration will be redirected from the local maschine but only when you are using RDP 10 (Windows 8 and higher). In Windows Server 2012 R2 it was also greyed out but you had the option to activate it over a checkbox below the options.
In my case users are using windows 7 embedded. I configured the DPI in the local control panel but no effect when I am connected to the RDS Server.