Actually the firewall thing was my experience with Ubuntu. I tried to setup linux in a VM to learn to use it, and failed on what I thought would be a simple first step: configure it so that I can connect to the VM using RDP. That involves tweaking the firewall and installing an RDP server. I finally discovered ufw but the original instructions involved creating a security group, etc. As for the RDP thing, I still have't found a stable solution (but have long deleted the VM since).

TeamViewer have a build that uses Wine which works well.

What VM host software are you using? If it's VirtualBox, just install the guest additions and use it through there.

RDP is really a Microsoft-only protocol. It's better on Windows than VNC because AFAIK it's just sending draw calls across the wire. I'm not sure what XRDP does.

You may actually have a better experience on a Pi 2 or 3, because of the way Raspbian is set up to run by default.

>TeamViewer have a build that uses Wine which works well.

TeamViewer has a native linux build, which works well: https://www.teamviewer.com/en/download/linux/

Not sure why you'd want to use Wine.

I was using hyper-v on windows 8.1 (now 10) machine that I use as a server. I didn't want to run a local VM as I was connecting from a laptop running windows 7.

I could also have used VNC but I much prefer the RDP experience, in particular being able to share the clipboard with the local machine and to copy text and files.

Ah right. I don't use Hyper-V because I want to be able to use USB devices under Linux. I've had a lot more problems under Hyper-V than I have with VirtualBox. Both can't be installed side by side, either, you'd have to remove the boot flag or uninstall Hyper-V before you can use VirtualBox.

VirtualBox also does clipboard and file sharing, but only with the Guest Additions (only tested under a recent Ubuntu).

For Ubuntu, I've used xfce4 desktop and X2Go quite successfully from Windows. I now pretty much always install xubuntu if I want to RDP into it.