firestartah,
You may be referring to avoiding double-nesting when possible. The initial machine you connect to has RDP and vSphere client access to all the exam components. All tasks should be launched from that screen when possible, and when a task is completed that needed RDP, return to the initial desktop when finished.
What you don't want to do it RDP from the initial desktop to the vCenter server from there RDP to the PowerCLI machine from there RDP to the VUM server.
Note that some task require you to RDP to a specific desktop (powerCLI/vCenter) before performing vSphere tasks