You would need an active session, if your virtualising the server eg vbox or what ever, use the host vbox rdp or display system to connect to the host and not connecting directly to the host using rdp.
Personally as im bear metal, i just use vnc in the internal lan and hence keep the active session as it is.
Your alternative if you want to do it remotely would to throw openvpn on to make the connection in using vnc then.
The alternative i guess would be to use a multi user (terminal server) patch on the server, run the game servers on one user that auto logins and keeps the active session and then a second user that connects in over rdp and then connects to the active session over the loopback.