The enterprise level web filter solutions are often content category based, as well as allowing/using whitelists and blacklists where things can be customized.
HPA and other outdoor forums often get categorized as being related to weapons, and the weapons category is frequently blocked in a K-12 organization. Not always, but frequently.
RDP is not common end-user protocol. The school may use VDI and then the students would log in through a web portal to their desktops (e.g. Citrix), but that's fading as well. Cloud computing as erased a lot of the benefits of such things. One no longer needs applications and configurations served out when applications can run through the browser (ex. Google G-Suite, Office 365, etc). OneDrive and Google Drive make client-based storage obsolete for many users.
The screen that appeared was, without seeing the whole screen, likely an installed client web filter...OR the student was logged in to a virtual desktop via a web portal.
My philosophy on web filtering is that I'd prefer we filter only what is required by law and not one thing more. That is not a popular thought amongst teachers and school administrators, and getting support for it is taking time. We can block anything we want to block, and then at 2:25 we dismiss them and they go see whatever they want on the web. Or they pull out their smart phone and look at it via their LTE connection while in school.
We can't hide the web from the kids. We shouldn't give them a means to look at porn on our dime, and I don't want staff getting malware issues. Other than that, I'd prefer we don't prevent any other web access. Maybe one year I'll get there.