I never log on locally to my Hyper-V server, since it’s just a headless server in my “Server Room” (i.e. a storage room in the basement next to my office). So Remote Desktop works find for most things. However, when you’re installing a guest operating system and haven’t yet had the chance to install the Hyper-V integration services on the guest OS, you’ll likely face a conundrum should you need to use your mouse. You can’t use the mouse via Remote Desktop on a guest OS without the Hyper-V integration services installed. You also can’t use things like “ALT-TAB” to switch windows.
I was stuck installing Windows XP in a VM because of this. I resolved it by going full-screen on the guest OS. This allows you to use “ALT-TAB” at least, which allowed me to hit OK on a modal dialog that didn’t have focus initially.