PS: are remote desktop and RDP all there is Microsoft Server has to offer when it comes to giving internet access to each VPS?
as i know 2 USER RDP client access(if more then 2 then you need RDP licenses, available to my store!) is free with the each server!
easiest way to connect the VM on VPS is(i did it this way always):
1.VPS have a public IP, so create a VPN server or VPN gateway through RRAS(remote and routing access server), it's easy.
enable remote desktop on VM ...
now your remote access user will dial the VPN at first and then he/she can connect directly the VM through the RDP by the private id of the VM.
if i misunderstood your topic then sorry for my reply!
This indeed seems to be what I want

Will try to tackle this step by step. I don't believe in "easy" RRAS ;p
Will keep you posted with my questions

Thanks
UPDATE ;p
Ok, some questions...
"create a vpn server"... Do you mean I configure the host OS Win Server 2012 R2 as a VPN server? If so, how what where? General principles? :s
If user dials the VPN... Does that mean there is a different VPN for each hyper-v client I have? And how does it work then? Friend connects to VPN and gets my IP address. So he is in my local LAN?
UPDATE 2: Ok, I found Remote Access -> Direct Access & VPN (RAS) already was installed (because of remote desktop?). And a Remote Access Server is the same as a VPN server? My MCSE is 15 years old by now ;p