Just a guess here...How did you perform the installation of xRDP on your raspberry box ? If you have opened a command line and issue the following command
sudo apt-get install xrdp
The basic functionality will be there. However, if you want to be presented similar desktop interface, you need to perform some post customization actions
Assuming that you are using the Gnome Desktop interface on your Ubuntu Pi machine, you can fix the issue by creating a login script file by issuing the following command in a terminal session
cat <<EOF > ~/.xsessionrc
echo export GNOME_SHELL_SESSION_MODE=ubuntu
export XDG_CURRENT_DESKTOP=ubuntu:GNOME
export XDG_CONFIG_DIRS=/etc/xdg/xdg-ubuntu:/etc/xdg
EOF
After the file is created, login back to xRDP session and see if the desktop look like the one you have when logged on locally.
Another option for your next installation could be to use a script installer that perform the post configuration actions when installing xRDP software. You can always give it a try and see if this could run on Raspberry Pi boxes. The script and how to guide can be found here (see http://c-nergy.be/blog/?p=17175)
Please note that the script is updated on a regular base, so please be sure to check if a new version of the script is available...