I've just tested (on 2 different local systems): RDP from WXP to W7, on both sides start XY.
- Copying with ctrl-c on one and ctrl-v on the other system is OK in both directions.
- Ctrl-c can be replaced with right-click/copy: no problem
- after a copy the right-click/paste on the other system isn't available at all (gray)
- dragging with mouse doesn't work - sometimes one XY hangs! On first view rather confusing results...
E.g. on dragging from remote to local XY the "+" is shown over the local XY, but after drop the file appeared on the remote desktop!!! Reproducible! But same happens when copying to local WE.
Ahhh - same happens when copying from remote WE to local WE. The file is always dropped at that location where the cursor left the window of the remote desktop

So dragging from remote RDP to local seems to be impossible, symbol always keeps hanging inside RDP window.