There is a few options before connecting that can improve the connection speed of your RDP session: 

1. Step: before connecting to your RDP click “Show Options” in the “Display” tab reduce the Remote desktop size and choose a lower color setting.
2. Step: under the Experience tab uncheck everything except “Reconnect if connection is dropped”
3. Now hit connect. 

Note: while it depends on your Internet Upload Speed this should speed up your RDP session.