You could switch and use TightVNC, by default when a remote session is open the wallpaper turns black, and then when the session closes the users wallpaper comes back.
Personally, I'd advise against trying to accommodate the user on this one as it creates an expectation of privacy for them that they are not otherwise legally entitled to, and thus makes it very hard later for your company to *spy* on a worker. For example, if in five years a user is suspected of insider trading, and you created an expectation of privacy, the user could use that against you in court and have your screen shots of them doing illegal stuff thrown out.
Source: it happened at my last employer, all the evidence collected by the IT dept under direction of HR was thrown out because the user showed that the IT Dept previously had created a reasonable expectation of privacy.