mstsc on server core

There is no “install feature” method of doing this and I can imagine it's not supported by Microsoft. But you can add the RDP Client (mstsc) to server core by copying the following files from a server (preferably the same OS) with full GUI installation to the Hyper-V server:

From System32 folder:

• mstsc.exe
• d2d1.dll
• d3d11.dll
• dxgi.dll
• mstscax.dll
• msacm32.dll

From System32\en-US folder:

• mstsc.exe.mui
• mstscax.dll.mui