With this type of scenario, I think it makes sense to use Windows Event Forwarding (WEF) built in to the Microsoft OS to forward the events over. You could remotely poll them, but it would require the log sources to be configured for that IP. It makes much more sense in my opinion to have the OS be configured with a default WEF policy that forwards events based on the configured XML file. https://docs.microsoft.com/en-us/windows/security/threat-protection/use-windows-event-forwarding-to-assist-in-intrusion-detection
In this scenario, you could have a few decidated WinCollect agents that are setup for the Forwarded event log. This could receive events from a number of VDI Windows hosts, which all forward to the WinCollect agent. WinCollect will see these as individual log sources and create them, if required. If that IP already exists, then it will append in events to the existing log source.
I think your best bet would be to implement a GPO policy on your VDIs to have a default forwarding policy when the virtual desktop is created. This is likely something that you would have to test out, but WinCollect has a large number of users that implement WEF in large deployments and it works well. I don't know if any of these are virtual desktops, but I think WEF is the way to go.
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