I was also looking for a notification on RDP connection and disconnection.
You can create an event log notification trigger for the following events to get notified when RDP starts and ends:
Logon: Microsoft-Windows-RemoteDesktopServices-RDPCoreTS/Operational Informational Event ID# 131
Logoff: Microsoft-Windows-RemoteDesktopServices-RDPCoreTS/Operational Informational Event ID# 102