Am I right in assuming that you use the RDP connection mode? If this is the case, then it's expected behavior as this is simply how the native RDP client works.
In this scenario, please consider using the Full Control and View connection mode instead - this connection mode allows connecting to a remote Host without logging the current user out. In case if you want to only monitor the remote machine's screen, you can even connect using the View Only mode which allows viewing the remote screen without access to the remote mouse pointer and keyboard, i.e. without interrupting the remote user. When using Full Control/View Only connection modes, you can quickly switch between the modes by clicking the corresponding icon on the toolbar or by using the Alt + F12 keyboard shortcut.