Welcome to the real world.
What you found is not only true but it will only get WORSE down the road for several reasons.
First of all the graphics subsystem on OS X and Windows is very different.
Secondly, to improve performance, Microsoft is implementing several 'tricks' on RDP to make it faster like multimedia remoting, RemoteFX, etc. These are based on Windows technologies only and considering the market share Macs have (and if you then try to find the percentage of these that need RDC/RDP access that is even lower) Microsoft simply does not give a damn about Mac users. Simple as that.
There is not enough market/business to justify developing a fully compatible RDP 7 client for Mac.
I say that as a Mac user. :-)
My solution at the end was to actually use Boot Camp and have a Windows 7 partition. Parallels is great but when you do need Windows 7 raw performance, Parallels does introduce an overhead, especially on the graphics portion (as it is not DirectX 10/11 compatible).
Cláudio Rodrigues
Citrix CTP