RDP has supported headless (is that correct term? Or is it rootless?) windows for ages now, so your remote applications run in local window manager, same as an X11-forwarded app does. So, you can start a single app on a remote host via an RDP connection and have it appear on your local desktop the same as your local apps. And you can do that from multiple remote hosts simultaneously.
RDP has come a long way from the "works like VNC only slightly better" days.