Furthermore, xrdp encapsulates the VNC protocol AFAIK, that's not 100% truth. XRDP has several options (including rdp2rdp proxy), personally I use (for most setups) x11rdp + xrdp (Xvnc is too resource-consuming), although sometimes (for special setups) I use X2Go because of Debian packages (one has to build x11rdp from source to get the best recent version) + out-of-box sound forwarding support + easy directory sharing + ready thinclient packages.
Here are some more observations from me: when you have a weak/slow client (Vcxsrv and XMing seem to be rather slow on my old laptop with WinXP) and heavy server, the xrdp seems to be working better. When you have rather powerful client and want to reduce amount of software rendering on server-side, X2Go seems to be better. 2developers: please, correct me if I'm saying smth wrong, as I don't know much about the internals of X11-related software.