iTap RDP plays sound on the iPad from the PC. It's not perfect, but it helps. Nice to hear that Farkle sound when you lose a game lol.
As far as RDP, I have tried just about all of them and for me iTap RDP was best. Not the cheapest, but it was fastest with more features--and constantly updated. I bought it long ago for my iPhone and it now works on my iPad too (as native iPad app of course).