Dave Picklyk

Oh yeah, thanks for that!

No worries Bro! ;)

Just thought I'd put in my 2 cents here. On the RDP connection in RDM on the Authentication tab settings ensure that Warn me is selected and Enable Network Level Authentication (NLA) is unchecked:

By selecting the Warn me option instead of leaving the Default (Connect and don't warn me) we get the opportunity for the security warning to display:

If the default option is left than the connection will fail with the usual authentication error: