You can put it on a DC if you want. I usually put it on a server since I don't want servers from other subnets discovering all licenses. Keep in mind that you may consider using an R2 server to licenses for R2 clients. This isn't mandatory but a 2003 server for example won't host RDS licenses. You'll need a 2008 or 2008 R2 server for 2008 RDS licenses.
Depending on how you want your licenses to be discovered can determine if you want the RDS licensing on a DC or not.
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