Too much indirection? 
Tried to load Windows into a VWmware Workstation install last night. Workstation had a number of complaints:
- it couldn't figure out what kind of keyboard I had and warned that the LEDs on the keyboard might not work
- it couldn't figure out what kind of X display I had and so would refuse to go full-screen
- it couldn't connect to the sound device (which is mostly expected since I have not figured out sound on the Sun Ray side yet)
When I powered up the VM, it seemed to totally hose my keyboard. None of the keys appeared to work, and the ctrl-alt escape mode didn't work either. I had to kill the vm from another session, and even after that the control, alt, and caps lock keys were all faulty until my X session was restarted.
So there are a number of challenges before we can run a virtual windows desktop in a Sun Ray. I may have to set up the VM separately before I can connect to it through rdesktop.