When connecting over RDP, if the RDP connection setting for audio is set to Play on this computer,
then only Remote Audio is available as playback device. FxSound cannot start because FxSound Audio Enhancer device is not available in this scenario.
If Remote Desktop Client connection audio setting is Play on remote computer
Then the device is available and FxSound is running
So, if playing audio on the remote PC is the requirement, then set the client option accordingly and FxSound will run on the remote PC.
But, if audio has to be played on the local PC but FxSound has to run on the remote PC process the audio that plays locally then it is not possible.