That licensing changed with the release of Server 2003. Windows 2000 Server family allowed 2000 Professional or XP professional clients to connect without requiring they have a TS CAL. They still needed their normal Windows CAL, but they didn't need the TS CAL.
With the release of Server 2003, that was removed, and ALL clients require both the Windows CAL (same as before) and a TS CAL. The reason for the change was prior to Server 2003, there was no option for User CALs, so if you had a large group of TS-based workers, there was no easy way to license them if they connected from client locations, etc. With User CALs, that problem goes away.
Users with XP Professional client devices were grandfathered into the new licensing (in a way) by being granted TS CAL licenses for any client device they had prior to the release of Server 2003 (April of 2003 I believe the date was).
Windows XP Professional hosting a Remote Desktop session is a different beast, and requires no licenses because you can only have one active session at a time.
For Server 2003 hosting Remote Desktop sessions (equivalent to the old TS Admin mode), you can still have 2 admin connections without needing licenses. You don't need to even install TS in Server 2003 unless you plan to run in the old Application Mode (basically, hosting TS sessions).