I have done a couple of extras to get things completely in shape: Without this, session reconnection does not work which is a bit of a show stopper.
Get the source here and follow the very nice manual here to get things in reasonably working order. It appears that the XRDP that comes with Ubuntu is old(ish), so: As suggests, xrdp is the thing to use, but not right out of the box. I am really feeling quite dejected at this point - I had this working super smooth ten years ago, but now a working solution completely eludes me.
I realize there are projects like LTSP out there, but this is not what I want, since I don't want my clients to boot into a Ubuntu setup or anything - they just need to be able to log in same as if they were using Remote Desktop to start a Windows session.