Windows applications can not be ran by default. On Windows Server 2012 you need to add a collection and explicitly allow cmd in order to be able to use tl-run-winapp.
We could investigate the possibilities of doing this automatically in the WTS-tools installation.
See bug 5886
We decided that noting this in the documentation will be enough for now. Making this automatic is in bug 7066.
Documentation has been updated.
Really nice work done on the documentation, +3.