> I might need to see or enter sensitive data that I don't want everyone else to see
Well, you can't protect from that even being near your desktop, since somebody might be looking above your shoulder. Or somebody could hide a small camera in a pen near you.
But in case of X.Org you have a killing feature: you can remotely turn your monitor off! :)
> Windows does this use-case just right. It's streamlined and easy.
Yeah. You need to enable remote desktop, configure access to it, and set up your firewall. Or you may google and install some third party software and configure it instead. It's so much harder with X.Org where you only need ssh and 2 commands to reach your remote desktop. ;)