In the Remote Desktop for Mac menu bar, click RDC → Preferences

 Go to the Printers tab and make sure “Use a printer that is connected to the mac” is checked.  Use the drop down to select your local printer.

 You can also go to the Drivers tab and enable your location c drive to be accessed on your remote desktop drive. This way you can save things to your local drive from the remote desktop session…if you don’t want to print it.

 After you connect and close the RDP session it will ask you to save the connection, I would so next time you don’t have to select the use local printers option.