To add what @Ryan wrote, if the Local Security Policy is "Not Configured", next you must check the Terminal Services Configuration / Remote Desktop Configuration. Right-click the "Connection", choose "Properties", and check that there are no "Force Disconnect" option being enforced.
(I don't have access to a Windows Server 2008 R2 machine at the moment; I'll update/fix my answer when I regain access)
Erratum: The location is Start > Administrative Tools > Remote Desktop Services > Remote Desktop Session Host Configuration. Double-click on "RDP-Tcp", and go to the "Sessions" tab.
Edit to add: Do note, though, that without limiting sessions with forced logoffs, you will sooner or later run into the hard-coded 2 RDP sessions limitations (including 'console' sessions), necessitating a Forced Logoff after all.