Obrigado pelo link para essa outra pergunta @quack quixote, a primeira resposta me leva a esta post - onde a resposta é a seguinte:
...The following command can be run on the remote computer and it will leave the system unlocked with the account that was used during the remote session logged on.
tscon.exe 0 /dest:console
I connect remotely to my XP Pro system using the credentials of the main account on that machine. I created a batch file that runs that command and placed it in the C:\Windows folder of the remote computer. The batch file is named Disconnect.bat. I then put a shortcut to the batch file in the All Users\Desktop folder. I also changed the shortcut's icon to match the one for "Turn Off Computer" on the Start menu.
Instead of closing the remote desktop connection on my local computer, I double click the shortcut on the remote computer to end the session.
Funciona muito bem!
Edit: De acordo com a pergunta Quack ligado: Se você receber o erro: "Não foi possível conectar sessionID 0 ao console sessionname, código de erro 5 Erro [5]: Acesso negado." - Seu sessionID pode ser outro número. Nos comentários, o @yossis sugere um script para remediar isso:
I managed to make it work by trying different session numbers. The session number is different every time I use remote desktop. So I wrote a small script to try out 10 session numbers: for %%i in (0 1 2 3 4 5 6 7 8 9) do ( tscon %%i /dest:console ) It should be executed as administrator.