As others have said, WOL via a "magic packet" depends on the MAC layer and requires a hardwired LAN connection. With a docking station it is possible since you said you can get a local device to trigger the magic packet, but it depends on the implementation and drivers for the docking station's network interface. I can't speak for the Microsoft docking station, but I do have a Toshiba Dynadock dual monitor docking station that I use with my SP2. The hardware/driver does support WOL and it does work. I suspect the MS docking station would also support it.
Even if the MS docking station doesn't work with WOL, you could always configure a custom power profile that "never sleeps" when your SP2 is connected to the power adapter or docking station. The screen would still shut off, but your SP2 would still be awake. It would only use a few percent of the power that your desktop is probably using and it would be awake and listening for a remote desktop connection.
** EDIT **
As a side note, in recent versions of Windows there are two different "levels" of Wake On LAN functionality. You can see them by viewing the properties of your network adapter(s) under Windows Device Manager and then the Power Management tab. The first level is "Allow this device to wake the computer." This option will wake the computer any time another computer on the LAN tries to talk to it. This makes it a very light sleeper. For example, if you have drives mapped on another PC to a PC that is trying to sleep, the sleeping PC will wake up any time those mapped drives are accessed (including just opening My Computer).
The second level is "only allow a magic packet to wake the computer." This used to be the default and it requires a utility and some manual effort to wake the remote computer. I had to check this option on my Windows 8 desktop because by default it was not checked. My desktop was waking up all the time due to LAN activity, mapped drives, etc.
I mention this because if you look at the same power management properties for some wireless network adapters (including the SP2) the first level option is there, but unchecked by default. That implies that you can wake the SP2 via WiFi by simply pinging it or anything else that attempts a connection. Of course this also means that the network adapter would have to remain active which would use some amount of power in sleep mode.
** Edit 2 **
I just tried the wake option on my SP2 wireless network adapter. It doesn't seem to work so I have no idea what that checkbox is supposed to do. Anyway, the options are still helpful for wired connections.
** Edit 3 **
Last edit, I promise. Here is an MS article that explains the required steps to enable Wireless WOL. It seems as though the WiFi adapter on the SP2 supports this (based on the previously mentioned checkbox being shown in the UI), but I haven't tried it myself...
http://technet.microsoft.com/en-us/library/ee851581(v=WS.10).aspx