I was actually able to get CloudXR to work with RDP. When the client connects and you see the greeny/blue screen, you can go into the advanced SteamVR settings and turn “Pause VR when computer is locked” to off. I think this is related to the comment above, in that the main windows display is still “locked”, but it did work, and the SteamVR void showed up immediately in the stream (no need to reconnect or anything).
For audio I found setting the RDP connection settings to “Play Audio on the Remote PC” avoided RDP forcing the Microsoft Remote Audio driver, and CloudXR was then able to add its audio devices and stream audio properly in both directions.
I had a whole walkthrough video prepared using this route, and then discovered that closing the RDP connection kept the video working fine but for some reason stopped the audio streaming from working. So I went back and did the whole thing again using DCV. DCV also needs the “Pause VR when computer is locked” setting set to off to avoid the greeny/blue screen when disconnecting the DCV session, but with DCV audio continues to work in that case.
You can see the full walkthrough I put together in this post.