I was just making my way to use th Yubico way of logging into a workstation. We use RDP (MSTSC) alot for remote work. So the Yubikey isn't used with the USB Keyboard device way.
Currently we use http://www.rohos.com/support/knowledge-base/windows-logon-with-yubikey/
which does work with Yubikey. It's paid software
Should it be able to use Yubikey with challenge response in the future ? When starting RDP you the 'default' for smartcards is allway's enabled? Perhaps the Yubikey should present itself as a USB SmartCard, so the RDP client can pass trough the Challenge Response over this SmartCard way of doing things.