Thank you for the clarification.
Could you please clarify if you're connecting to a Server OS or a Client OS and if the terminal session you select is active? Please note that when you want to switch between terminal sessions using the Toolbar menu, the sessions must be active, i.e. running. You cannot create terminal sessions with Remote Utilities, only switch to existing ones.
In addition, please note that in case if your Host is running on a Client OS, such as Windows 7 or Windows 10, unfortunately, it won't be possible to connect to an existing session this way.
In case if your Host is installed on a Server OS and the terminal session that you want to connect to is active, then please double-check if the RDP client is configured properly, as such issues might be caused by the RDP client on a server machine being configured for Client OS.
Hope that helps.