Remote Desktop Services (RDS) is a role-based component of Windows Server that lets users connect over the Remote Desktop Protocol to a full desktop or to individual applications (RemoteApp). It consists of roles such as Session Host, Virtualization Host, Connection Broker, Web Access, Gateway and Licensing, for session-based and VDI deployments. You install it yourself on your own servers or on virtual machines in Azure, and Remote Desktop Services client access licences (CALs) are required.
Microsoft Corporation is headquartered in Redmond, Washington (US) and falls under US jurisdiction, including the CLOUD Act. Because RDS is software you run yourself, you decide where sessions and data reside: in your own data centre, with a European hosting provider or in an Azure region. Microsoft states that data remains in the data centre and only the user interface is streamed to the endpoint. European organisations can therefore run RDS on their own infrastructure in the EU, but remain dependent on Microsoft for licensing and updates, and for the infrastructure as well when hosting on Azure.