This is a very obscure bug that manifests itself when creating a VM using one of the Remote Desktop Session Host images from the gallery. When you click the "Connect" button from the VM overview page, you can download an RDP file to start an RDP session in the VM in question. If the VM is ARM-based, the RDP connection works fine. However, if it's a "classic" VM, you will see the following error message:
The difference between the RDP files for the two different types of VMs is this line:
administrative session:i:1
The RDP file for the ARM-based VM has it, while the RDP file for the classic VM doesn't. This is clearly a bug in the management portal, and it seems to have started recently as I've never had problems before connecting to a classic VM based on a Remote Desktop Session Host gallery image.