NoMachine has been the nicest option I've found. I've previously tried x2go and xrdp, and whilst they worked, I kept looking for something better until I found NoMachine.
You're probably aware of this, but once the connection has been mediated via the cloud, data will usually flow directly between client and server. But yes, to avoid this initial connection mediation, you'll need the "Cloudless Fluid Connections" from the Enterprise team plan[0]. I use the basic $35 single user macOS program which requires cloud mediation.
I don't like the forced cloud mediation either, but the protocol is just so much better, almost comically better, than NoMachine, RDP-over-macOS, VNC, X11-forwarding, Screen Sharing.app, etc.
But, RDP's bandwidth efficiency on Windows is unbeatable AFAIK. I wish the Linux and macOS world had something like that.