I need to find a way to capture the contents of Windows Remote Desktop
Connection sessions, so they can be played back like video playback
later, but taking advantage of the vector compression inherent in how
RDP information is sent across the wire. I would prefer something that
costs little or nothing, but would like to see what options are
available to do this out there.

I want to do this, because I will be having people telecommuting and
doing work, and I want some way to be able to play back sessions
later, if there are any questions that come up about who did what.

I could advice to use TCPFLOW
(http://www.circlemud.org/~jelson/software/tcpflow/) to record the
data sent in a file, and a server software that read this file and
send it through your net when needed to replay the transmission. Well
now you need this server :)