RDP exits immediately after connecting to Windows Server 2008 R2
Solution 1:
I had a similar thing as well with regards to Windows Updates. One of the updates seemed to disable RDP and VNC Services but local login was fine.
I ended up having LogMeIn installed by a local tech and when I logged in with my account I found a dialog waiting for me to click on that said 'Windows Service Pack 1 installed Successfully' or something to that effect. After clicking OK everything worked fine.
Thanks Microsoft.
Solution 2:
I had a similar problem with an Azure VM.
Turns out that it was doing Windows Updates. From the Azure management portal, the Boot Diagnostics panel shows a picture of the current screen, and it was showing this: