Is there anyway you could hook a mouse, keyboard and monitor up to the server and see if it works from the box itself? That would tell you if it's a Win2003 problem or a Remote Desktop problem.
Personally I've used programs like DirectShow Dump, which use the same DirectShow filter and MAK as WMP, via Remote Desktop on XP and it worked fine. So I'm leaning toward it being a Win2003 problem.
Developer for VideoReDo