Hello,
There may be something wrong with authentication between your client and MS auth server.
You can disable NLA and then authentication will happen between your server and MS auth server.
a. Open gpedit.msc applet.
b. Navigate to Computer Configuration -> Administrative Templates -> Windows Components -> Remote Desktop Services -> Remote Desktop Session Host -> Security.
c. Enable Require use of specific security layer for remote (RDP) connections and select RDP as Security Layer.
d. Disable Require user authentication for remote connections by using Network Level Authentication policy.
e. Reboot Terminal server.
If the troubleshooting steps were not helpful, there might be an issue with your explorer, or it could be a session leak.
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