To enable this you need to use regedit and modify the following key:
This key value should have something like: "login.scr", all you need to do is change that value to another screen saver. Type:
dir %windir%\system32\*.scrfor a list of values.
I would also change the timeout key: ScreenSaveTimeOut value to 1 so that once you login from RDC it will kick in immediately.