Yes, I would have the same virtual channel configuration on the Windows machine as on the remote RT Engine.
With the virtual channel configuration on the Windows machine, I can use the "Test" button (from MAX) which is an easy and very quick way to verify that the channel is working.
In fact, as you mentionned in your answer, I just need to create a RDA device in the "Device and Interface" folder, and automatically all the virtual channels configured on this remote device are "imported" under the "Data Neigborhood" folder.
I didn't see this functionnality in my first test because I had created the Remote Device entry before I created the virtual channel on this device.