That sure is strange. I do not have access to my LEM console from my current client, but I do remember the RDP logon type being different from one where a person logs in to a machine directly (ie, not rdp and on the local console). So it is strange, but I think you are just not seeing the logon message as its not being reported exactly how a console type logon is in LEM. What you are seeing is the RDP session being closed I feel.
One possibility - the logon used cached credentials. Look for "Cached Interactive Logon" in addition to "Remote Interactive Logon".