Sounds like a race condition to me and nothing really to do with RD. However your explanation is confusing to me. The Load
event wouldn't trigger when RD is closed unless something is triggering the UX to load as that event is called when the window is displayed.
Given your explanation it is my guess that you have a bad event handler. Most likely the property changed event is being raised on an object that is getting cleaned up and therefore it crashes. You cannot replicate this problem easily locally because you cannot close out your session and keep the debugger attached locally.
Please post the stacktrace that is being reported as part of this exception. Most likely you need to disconnect your event handlers before the window closes but the stack will help show that.
Also please clarify whether you're closing the window (and leaving the user connected in the session) or closing the session AND logging off the user at the same time.