As it seems, adding Chinese language to a terminal session via group policy is not as simple as it should be by simply applying registry keys or group policy settings.
Click on start, settings
Click on “Time & Language”
Click on “Add a Language”
Search for “Chinese” and then click on Next
Click on the Chinese Language pack and then click “Options”
Click on “Add a keyboard”
Click on “Microsoft Pinyin”
Now in the bottom left corner you can now select the Chinese language layout