Solution 1:

We have that enabled on our of our machines through a GPO. Take a look at this setting: Windows Components/Remote Desktop Services/Remote Desktop Session Host/Security under Computer Configuration/Administrative Templates and look for this setting: Always prompt for password upon connection Enabled

Solution 2:

I had a wrong setting enabled: Session Host Configuration -> Select the connection -> properties -> Credentials tab.

Here you can choose where to always ask for credentials or take the credentials provided by the client.