One (admittedly obscure) reason is the way rdp handles smart cards. It cancels any locally connected devices and forwards the client's instead. Which is a problem if the whole point of the machine you're connecting to is that it has a USB token attached to it with your codesigning keys on it. That one took quite a lot of swearing to figure out :p

We now use this exact setup to get around that (tightvnc + tailscale)