Because RDP screws up your temp monitoring. I use RDP only for my BAMT-based rigs, and TightVNC to administer the Win7 rigs. CGRemote for a quick overview at a glance.
Weird, is it a problem with the application(s) used or RDP itself?
Has to do with how RDP accesses the video drivers I believe. Try it. When I try to use TRIXX or see temp and fan speeds per GPU in CGMiner, I get nothing. VNC equivalents don't have the same issue. I've heard good results with Teamviewer as well, though I've not tried it.