That is an interesting observation.
On my system I can set up RDP users in my Linux user’s System Settings and they work just fine, but I don’t use auto-login or passwordless accounts. I have another system where I use auto-login with also a password (that is only used for remote login and for sudo) so I should try that configuration and see how that works.
But at this point this seems like a bug that is worth reporting on bugs.kde.org.