I will post an answer to my own question because with help from Griffon's answer and some Googling I think I understand what is happening.
Firstly I had not realised that Xrdp contains a window manager. When you open the RDP connection you are presented with this login screen:

And then on entering my username and password I see this blank screen:

Although it doesn't show in the screen grab the screen shows a cursor that isn't the standard Windows cursor so I thought the RDP session had connected, but actually this output is coming from the Xrdp server and the connection is still in progress.
The second confusion is that the timeout connecting to Xorg is very long (3½ minutes!) and I had thought the blank screen after entering my credentials meant I had successfully established an RDP session and for some reason the desktop hadn't started. In fact I am still looking at output generated by the Xrdp server, and if I wait long enough I eventually see an error message from Xrdp saying it cannot connect to Xorg:

So the answer to my question is I am seeing only the graphical elements drawn by the Xrdp server, and there is no way of running anything because when the screen is blank the RDP connection is still in progress.