There are plenty of well-known exploits against RDP too. ssh and its extensions are pretty safe (provided you're patched up from the Debian ssh key fiasco a couple months back), but they're slowwwww in my experience for forwarding more than just a command prompt. Is freenx fast enough to forward the whole desktop session at an acceptable speed?NC is a clear-text protocol, and using it could potentially allow some hacker in the middle to intercept anything you type.
In any case, if you only run a vnc session for a couple of seconds just to see if it works, the risk is pretty minimal.
I agree that if you can connect from home to work using Windows, then there are obviously no ports being blocked. But I think it still wouldn't hurt to make sure that VNC works too, just to rule out other factors. If VNC works, then it nails the problem down to the way that Ubuntu handles RDP, not a broader problem with Ubuntu.
Also, another test that would help isolate the source of the problem would be to try to connect over the terminal server client to a different Windows computer, like one in your house, if possible. If that works, then you'd rule out bugs with the terminal server client in Ubuntu.
It may also help to try a different program to connect, like Gnome RDP, or to compile rdesktop (the backend to these programs, I think) from the latest stable source, in case there's a bug there that's preventing the connection.
By the way, couldn't you remote from work to home, and then over that connection, test home to work? No need to remember to leave VNC running overnight
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