This only works if you have a good internet connection. The use case I've always had for VMWare Fusion is that I need to use a Windows app, as if it were local, with my local, multi-gig, files available.
(https://medium.com/sai-ops/using-aws-session-manager-to-conn...)
If you're using a Windows app as part of your Mac workflow (which is often the case if Fusion is being used), you'll put files in a shared mount so the Mac and Windows apps have access to the storage they're on. This doesn't work if you have to transfer files across the internet to start the Windows side of your workflow.
For example, a Windows reporting tool that reads from an sqlite database, which was generated with a Mac workflow, while I'm sitting at a coffee shop.
And, the nicest thing about fusion is that each Windows app appears as a native window, which RDP doesn't seem to have.