NoMachine has been the nicest option I've found. I've previously tried x2go and xrdp, and whilst they worked, I kept looking for something better until I found NoMachine.
But, RDP's bandwidth efficiency on Windows is unbeatable AFAIK. I wish the Linux and macOS world had something like that.
I don't like the forced cloud mediation either, but the protocol is just so much better, almost comically better, than NoMachine, RDP-over-macOS, VNC, X11-forwarding, Screen Sharing.app, etc.
I wish they did offer Cloudless in their regular version.