I've tried to.
On normal PE it won't work as there is no .NET Framework.
I took Win7PE and got it to show up as unattended connection - but was unable to connec to the session.
At the moment this project has very low priority for me - just a nice to have - so I never did follow up if it does work now with a newer screen connect version...
As to get it to work you would have to install your Agent onto a PC and copy the start string for the service from the registry.
Use this to start your .exe file.