After a bit of hunting around it turns out it was the mouse "Aero" and shadowing features that had been the culprit. So to solve..... head to your mouse settings in control panel, choose a Scheme that is not Aero and also deselect the "Enable pointer shadow" option
Do this on both the client and on the server/vdi that you are making the RDP connection to.
I hope I've saved you some time and pain! Let me know in the comments below.