Windows 7 and Windows 2008
 
The Welcome screen may be displayed for 30 seconds during the logon process after you set a solid color as the desktop background in Windows 7 or in Windows Server 2008 R2
 

Windows XP and Windows 2003

A remote session does not end immediately on a computer that is running Windows Server 2003 Service Pack 1

http://support.microsoft.com/kb/901196/en-us