I did it this way - coming from many different sources and try and error - but now it even works through Microsoft RD client on my iOS iPad 2 - fun!
I did install Windows 10 Pro Hyper V
I did install virtual machine first generation - Ubuntu 14.04 LTS
I did install xubuntu-desktop (for xfce4 which works - I do not care for my taste if I like or not - it works!)
I did install xrde
I did create a remote user
I did grant sudo group to it
I did create with sudo rights via vi a .xsession file (like others) in the home directory of the created remote user
I made the .xsession file being able to execute via chmod in the home directory of that created remote user
But - and that I only found once - I did start my .xsession file first with:
I did not use echo ...
I entered via vi line two:
After that I did a restart of the virtual Ubuntu machine
And after the restart I was able to go to the IP of the virtual Ubuntu with the remote user created ending in a running graphical xfce4 session in the out of the box Microsoft Remote Desktop Connection without that grey screen.
I was so lucky and proud with all tha reading which I tried myself not getting a satisfying result like others with blank/grey screens and doing a combination like that from different sources myself running it as RDP session from Windows 10 or - as already written - through my iPad 2 that I like to share my experiences here with others helping me getting to this point - thanks to all!