Yes. Any printers that are locally attached via on LPT port are fully supported. Printers that are connected via your local network or USB are also supported in most cases but need to be mapped into a local LPT port before they are visible to the remote desktop session. The command to do this looks something like net use lpt3 \\servername\printer /persistent:yes. Do this before connecting to the remote session (on your local computer) and the printer should be visible
Here are some other helpful links around printing and RDP
Here is some more specific directions to get the accurate information for the "net use lpt3" command
First you need to get your personal computer name.
Right click on My Computer and select properties. Your computer name will be displayed here.
Visit your Printers folder in Control Panel and view the properties of the printer you want to connect. Click on the Sharing Tab.
Ok! Now we have all of the information that we need! Open Command Prompt and type in the correct command. In our example our Computer name is GatewayDX-PC and our printer name is CanonMP560:
net use lpt3 \GatewayDX-PC\CanonMP560 /persistent:yes
The final step is to make sure that your RDP file is allowing local resources. Right click your RDP connection and select Edit. Navigate to the Local Resources Tab. Make sure that Printers has a checkmark!