Yes, this is true RemoteFX is not supported on Server Core.
Which editions include RemoteFX?
RemoteFX is available in the following editions of Windows Server 2008 R2 with SP1:
- Windows Server 2008 R2 Standard with SP1
- Windows Server 2008 R2 Enterprise with SP1
- Windows Server 2008 R2 Datacenter with SP1
- Microsoft Hyper-V Server 2008 R2 with the Windows Server 2008 R2 SP1 update applied
http://technet.microsoft.com/en-us/library/ff817578(WS.10).aspx