I've actually done a lot of work from home via Remote Desktop that involved an Excel Workbook (and Access Applications) doing lots of hefty calculations. From my experience, I didn't notice any slowdown in the calculations on the Excel sheet, but occasionally the connection would slow and anything that refreshed the screen a lot would make the PC difficult to use.
The most important thing, however, is to write code that modifies the visual elements of the screen as much as possible. For example, instead of looping through a bunch of cells and setting each one as the active cell to find its value, loop through a set of range values that don't require the sheet to refresh. This, by far, has created the biggest performance boost in my VBA code.
If your code is already fairly optimized, you'll probably not see any difference monitoring it over RDP. However, if monitoring is your issue, you ought to consider outputing data to a separate Excel or Text file that might be stored on a shared server. If done correctly, I imagine that would have a smaller impact on your CPU than RDP. THis will still allow you to monitor the progress of the Excel application without having to log in.