Hi Espen,
This is very unusual. The only program setting remotely related to what you describe is "Lock workstation on disconnect" property (connection properties -> additional properties).
But since you say that locking happens on connect rather than on disconnect, and that it is really Remote Utilities' own Full Control mode rather than the RDP, we don't really know what might the reason. This is the first time we are reported such behavior.
One possible explanation could be that there is security software on your computer that prevents remote connection and/or input emulation typical for remote control software.