The subject behavior occurs because of enhanced security features intoduced with SP4.
To work around this behavior, revert to SP3 mode for the session lock down feature:
1. Copy / Paste the following to a ObjectSecurityMode.reg file on your server:
2. Merge the ObjectSecurityMode.reg file with your server's registry, or run regedit /s ObjectSecurityMode.reg.
3. Run the Run As feature from the Terminal Server console, instead of from a remote session.