As RDS is a streaming protocol, packet fragmentation should be avoided. SonicWALL firewalls do provide fragmented packet handling functionality, and this is controlled via the VPN > Advanced page.
We'd recommend checking both the Enabled Fragmented Packet Handling and Ignore DF (Don't Fragment) Bit. This may seem contrary to the above, which states that RDS traffic shouldn't be fragmented; the ideal approach is to ensure that packet fragmentation does not occur by using correct PMTU settings (see below), but if it does, then these settings prevent the packets being dropped which would likely cause issues with the RDS session. Further, failing to fragment packets can interfere with Path MTU Discovery traffic.
Whichever approach you choose, ensure it is identical on the SonicWALL firewalls at both ends of the VPN tunnel and be aware that it is a global setting applying to all VPN tunnels terminating at each appliance.
Path Maximum Transmission Unit (Path MTU or PMTU)
As described above, fragmentation of the RDP streaming protocol is undesirable and should be avoided. The most common cause of such fragmentation is incorrect Maximum Transmission Unit (MTU) values for the traffic's path.
The PMTU (Path Maximum Transmission Unit) is the largest packet that can traverse a given connection (path) without fragmentation. The most common MTU value for UK Internet connections is 1,500 bytes, and this should be set appropriately in the WAN interface configuration on the SonicWALL firewalls.
Path Maximum Transmission Unit Discovery (PMTUD) is a technique in computer networking for determining the maximum transmission unit (MTU) size on the network path between two Internet Protocol (IP) hosts, usually intending to avoid IP fragmentation. More information can be found here. Note that SonicWALL firewalls do not honour or pass to the LAN MTU Path Discovery messages as they are unauthenticated and can be used as a denial of service attack.
The current version of the SonicWALL firmware provides a Path MTU Discovery tool under the Device > Diagnostics > PMTU Discovery menu (Or the Investigate > System Diagnostics > Select PMTU Discovery from the Diagnostic Tool menu - page for pre-version 7 firmware). Enter an IP or hostname in the Address field, and select the relevant interface from the dropdown – click the GO button, and the firewall will automatically calculate your PMTU.