Usually, when you close your RDP connection the remote computer locks the computer and therefore restricts access and use of your Desktop (COMPUTER LOCKED).
The solution is either :
1/ use VNC instead of RDP
2/ or run "@tscon.exe 1 /dest:console" to transfer your session from RDP to CONSOLE, this will "virtually" kick you out, but it will leave your user session open and your Desktop active on the remote computer.
WARNING: By definition, this solution (2/) is unlikely to work for multiple remote desktop sessions on a single computer at the same time, there can be only one console session and it is already in use.
C:\Users\Administrator2>tscon 2 /dest:console
Could not connect sessionID 2 to sessionname console, Error code 7045
Error :The requested session access is denied.