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Windows though... if a Windows session starts locally and a program is started at that time, i.e. Plex Server then it will utilise the GPU. But if you login via remote desktop and start Plex, then this is considered a remote session and the GPU is actually disabled for programs that you start under that session.
This is what I vaguely remembered. I want to stick a machine (Windows) in a cupboard under the stairs and use RDP through a lightweight laptop for CPU/GPU intensive things but that sounds a bit annoying.
Did you try this? Looks like it may resolve the issue.
https://knowledge.civilgeo.com/knowledge-base/enabling-gpu-rendering-for-microsoft-remote-desktop/
It depends what you mean by utilising.
Linux does so just fine.
OSX does so just fine.
Windows though... if a Windows session starts locally and a program is started at that time, i.e. Plex Server then it will utilise the GPU. But if you login via remote desktop and start Plex, then this is considered a remote session and the GPU is actually disabled for programs that you start under that session.
So AFAIK it's a Windows issue, and if I really want something to start with GPU support I set it as a startup program and will reboot the machine if I am remote.