You wouldn’t typically have a default desktop on a Linux Production SQL server.
Linux offers many different desktops and newer versions of Ubuntu e.g. 16.10, allow copy/paste and folder access between the Windows host and Linux server.
Allow RDP TCP port 3389 using either
sudo ufw allow in 3389/tcp
sudo apt-get install -y xrdp sudo apt-get install -y mate-core mate-desktop-environment mate-notification-daemon