Today a new KB article and hotfix have been released for RDS on Windows Server 2008 R2 related to performance issues when shadowing a session. I actually experienced this myself recently. Good to see there's a fix!
UPDATE: After have been taken offline the 10th of may, the KB has been republished on the 25th of may.
Article ID: 2685909 - Last Review: May 9, 2012 - Revision: 1.0
Poor performance occurs when you shadow a Remote Desktop session in Windows Server 2008 R2 or in Windows 7
"...Consider the following scenario:
- You start a Remote Desktop session to a computer that is running Windows Server 2008 R2 and that has the Remote Desktop Services role installed.
- You remotely control (or "shadow") a different Remote Desktop session by using the Remote Desktop Services Manager Microsoft Management Console (MMC) snap-in.
Note This issue can also occur on a computer that is running Windows 7 and that has the Remote Server Administration Tools feature installed. When the issue occurs, the CPU usage for the Server Manager MMC snap-in increases to 100 percent.
This issue occurs because there are messages in the message queue to be processed by the UI thread when the Remotecontrol option is clicked. However, the message queue is shared across threads, and other threads cannot process the messages..."