In general it is going to be more secure, and better performing since it is a point-to-point connection.
What will make it more secure is if the external port is *NOT* 3389 since that is one of the most popular ports to attack in the world. The second factor that will make it more secure will be using a strong password. The third step would be to make the user account that you regularly use a non-Administrator account.
There's also throwing three pinches of salt over your shoulder, or knocking on wood, but my Grandmother wasn't up on tech security, she just taught me some great Italian.
