What are you trying to do exactly? If you plug the YubiKey into your computer, you can either use it locally, or you can use some of the functionality over RDP to another computer (basic OTP, Yubico Authenticator, PIV - no challenge-response or U2F). Are you saying you are trying to RDP from Computer 1 to Computer 2, the YubiKey NEO is plugged into Computer 2 (the RDP destination computer), and you're trying to use button press on the YubiKey in Computer 2 while Computer 1 is actively connected over RDP? If so, that doesn't make sense. Can you use the keyboard plugged into Computer 2 while you have Computer 1 actively connected to it? Plug the YubiKey into Computer 1 if you want to send an OTP to computer 2. Example:
As you can see, I have a YubiKey NEO plugged into my primary laptop (running Windows 7 Professional SP1) and I am connected over RDP to a Windows 7 Enterprise N laptop on the same local network. I can use the YubiKey NEO Manager and Yubico Authenticator, and I can successfully send my slot 1 OTP.