Haven't come across it myself but a google came up with this :

Start Group Policy Editor - Go to the Start menu and type in, gpedit.msc
In the left pane of Group Policy Editor, navigate to Computer Configuration -> Administrative Templates -> System -> Removable Storage Access.
In the right pane of Group Policy Editor, change the value of the Setting, All Removable Storage: Allow direct access in remote sessions, to Enabled.
Exit Group Policy Editor and you should be able to burn a DVD over Remote Desktop now