The only problem with RDP is that if you have 3rd party tools to help you with your work, and you have individualized settings on those tools, RDP sessions require extra licensing and possibly extra set up. That's why I like two different security paths better.
"The credit belongs to the man who is actually in the arena, whose face is marred by dust and sweat and blood"
- Theodore Roosevelt
Author of:
SQL Server Execution Plans
SQL Server Query Performance Tuning