Can you please advise if it is possible to use Open Value Visio in a Remote Desktop environment or does it need to be SPLA licensing?

If running in a multi-tenanted environment, it must be licensed via your SPLA.

This is because Microsoft Visio, being a desktop application do not qualify for License Mobility through Software Assurance.

However, if the underlying physical server hardware is dedicated to the end-customer, they may be able to use their volume licenses for Visio.