Why is the session not saved in RDP Windows 10?

Question

Windows

I picked up the usual Windows 10 LTSB, allowed RDP in the system and opened a port for it, all according to the standard.
1. A session starts via another PC: Remote Desktop Connection>authorization.
2. We enter the system, open any program.
3. Click on the cross.
4. We connect again
5. There is no program of that active and a new session
.
Here is what one user has now:

*If I click on the cross, exit the client and reconnect, the session will NOT START from the end as usual, IT WILL START AGAIN ....

Answer 1

3. Click on the cross

Programs!? Or RDP?
1. Check server settings
2. Check your gpedit policy settings

picture

Answer 2

3. Click on the cross.

You need to click "Disconnect" in the session.

Answer 3

That is, look, always as authorization and we see the user name and connection in the login window.
At me: Another user > and authorization.