The following script will create the Policy initiative definition.

policyInitiativeCreation.ps1

# Login first with Connect-AzAccount if not using Cloud Shell

## Variable
$parameters = Invoke-RestMethod -Uri "https://raw.githubusercontent.com/JamesDLD/AzureRm-Template/master/Create-WvdDiagnosticsPolicy/parameters.json"

## Create the Policy Definition for the Windows Virtual Desktop Workspaces
$workspacesPolicy = New-AzPolicyDefinition -Name 'Windows Virtual Desktop Workspaces Diagnostic Settings' `
  -DisplayName  'Deploy Diagnostic Settings for Windows Virtual Desktop Workspaces to Log Analytics workspace' `
  -Policy "https://raw.githubusercontent.com/JamesDLD/AzureRm-Template/master/Create-WvdDiagnosticsPolicy/workspaces.json" `
  -Parameter ($parameters | ConvertTo-Json) `
  -Metadata '{"category":"Log Monitor"}' `
  -Mode Indexed

## Create the Policy Definition for the Windows Virtual Desktop Host Pools
$hostpoolsPolicy = New-AzPolicyDefinition -Name 'Windows Virtual Desktop Host Pools Diagnostic Settings' `
  -DisplayName  'Deploy Diagnostic Settings for Windows Virtual Desktop Host Pools to Log Analytics workspace' `
  -Policy "https://raw.githubusercontent.com/JamesDLD/AzureRm-Template/master/Create-WvdDiagnosticsPolicy/hostpools.json" `
  -Parameter ($parameters | ConvertTo-Json) `
  -Metadata '{"category":"Log Monitor"}' `
  -Mode Indexed

## Create the Policy Definition for the Windows Virtual Desktop Application Groups
$applicationgroupsPolicy = New-AzPolicyDefinition -Name 'Windows Virtual Desktop Application Groups Diagnostic Settings' `
  -DisplayName  'Deploy Diagnostic Settings for Windows Virtual Desktop Application Groups to Log Analytics workspace' `
  -Policy "https://raw.githubusercontent.com/JamesDLD/AzureRm-Template/master/Create-WvdDiagnosticsPolicy/applicationgroups.json" `
  -Parameter ($parameters | ConvertTo-Json) `
  -Metadata '{"category":"Log Monitor"}' `
  -Mode Indexed

## Prepare the Policy Definition variable for the Policy Initiative
$params = @{ 
  effect = @{ value = "[parameters('effect')]" };
  profileName = @{ value = "[parameters('profileName')]" };
  logAnalytics = @{ value = "[parameters('logAnalytics')]" };
  logsEnabled = @{ value = "[parameters('logsEnabled')]" }
}

$PolicyDefinitions = @(
  @{
    policyDefinitionId = $workspacesPolicy.PolicyDefinitionId
    parameters = $params
  };
  @{
    policyDefinitionId = $hostpoolsPolicy.PolicyDefinitionId
    parameters = $params
  };
  @{
    policyDefinitionId = $applicationgroupsPolicy.PolicyDefinitionId
    parameters = $params
  }
)

## Create the Policy Iniative for the Windows Virtual Desktop Resources
New-AzPolicySetDefinition -Name 'Windows Virtual Desktop Resources Diagnostic Settings' `
  -DisplayName  'Deploy Diagnostic Settings for Windows Virtual Desktop Resources to Log Analytics workspace' `
  -PolicyDefinition ($PolicyDefinitions | ConvertTo-Json -Depth 3) `
  -Parameter ($parameters | ConvertTo-Json) `
  -Metadata '{"category":"Log Monitor"}'