I believe it’s one of the selling points of server 2008 r2
That’s possible but it must be a module or registry setting that we just can’t have themes/Aero when using Remote Desktop. If you have an Aero enabled Vista client and Vista server it IS possible. Also as you can see in my first post, it is possible to get themes in remote desktop by interrupting the connection. It looks that by interrupting the connection it skips some check it does at the rdp start up and so enables themes.
The only problem to find out what we have to patch is difficult while there are many files/settings accessed when opening a Remote Desktop Connection.