Disclaimer: I am not a Microsoft employee and I cannot speak for Microsoft. I can only speak from my personal experience.
From our experience? No. They do not appear to be included.
From our work with our Microsoft 365 project and the related agreement it did not include RDS CALs; formerly known as TS CALs. We have/had to separately purchase RDS CALs in addition to the others which were included with M365.
To clarify, our M365 Agreement included Server CALs, Users CALs and ML CALs (Management Licenses for SCCM and so on) but no RDS CALs. It seems RDS CALs will need to be added as a separate item and will not be included under the M365 umbrella. At least not right now.
Talk to your Microsoft, Sales VAR or related vendor and ask them the same question explicitly. My guess is that it will need to be added separately as ours had to be. They were not bundled. This seems to be true for now as of Oct 2018. Take that for what it's worth.