That's good. For me it's annoying because I need to run applications under the debugger, with different arguments, etc. and rewriting the RDP file to change this (or having a suite of slightly different ones) is kind of a pain--it's much simpler for me to ssh to the remote system and invoke whatever commands I need from the shell, knowing all X traffic will automatically appear on my local display; but that's par for the course in Windows I suppose.
The missing thing is allowing a single application to create windows on both local and remote displays at the same time. But this is not a built-in feature of X, either (although its network transparent architecture makes things like this relatively straightforward to implement).