On Linux I do:
How do I copy and paste between my local system and the remote system?
Try using RDPv5 to connect, it should automatically set the protocol to RDPv5, but in some situations it will not.
Alternatively, try launching with these arguments:
-5 forces RDPv5 (which it should use anyway, but sometimes it doesn't), -K forces it to not override the WM's key bindings, and -r clipboard:CLIPBOARD enables clipboard redirection (which is what you want).