Is it possible to setup an Azure Web Role that is deployed from the hosted TFS that has RDP configured? I know I can do it if I manually publish a role but is it possible to do it when you are automatically deploying from TFS?
yes - the RDP settings are saved in the deployment ServiceConfiguration.cscfg file. Make sure you have created a cert, uploaded the cert to your web role and at least once created the the "publish" settings, which will create the required values in the config file.