Work shouldn’t distrust employees this much

If he's using an RDP connection then it's not about work not trusting him, it's about him leaving all the defaults on. Standard behavior for RDP connections is for the computer to essentially just take commands from a remote mouse and keyboard as if they are commands from the local peripherals.

The computer doesn't know anything about the remote connection, so it's just operating as usual which is why everyone can see the screen, because under normal operations that's but a computer does.

The email is just advising him to maybe change some of the settings so that it doesn't behave as default.