It seems to work here for me. I use indicators on the panel, and connecting via xrdp allows me to access the network configuration dialog (Connections Indicator → Edit Connections) -- Unless this is because I am already locally logged in and permissions are "less restricted" than only accessing the user session via xrdp.
The other way is via System → Internet and Network → Network Connections.
Otherwise, I'd opt towards @skeleton's approach, since the configuration is easy to modify whether it's a local terminal or remote connection.
Edit: Actually, I think you're running 15.10 on the Raspberry Pi 2, which doesn't seem have the same behaviour as the desktop version: