Windows 11 logging-off RDP after disconnect

Hi,
ever since I upgraded my PC to Windows 11 Pro, I have problems with RDP connecting to my PC: every time I disconnect RDP session to my PC, it does not disconnect, but rather loggs-off my session, so I land on empty desktop every time. So frustrating and annoying... I have been using RDP to my PC forewer, on XP, Win 7, 10 and now 11. On Windows 10 I installed DUO SECURITY for 2FA, which worked just fine on Win 10 and now also on Win 11. So I guess this is not a problem.
Any idea, if this is a BUG or simply new feature in Windows 11 to automatically log-off deiscnonected RDP session?
BTW...I do NOT use any MS-account logon, nor domain, just simple plain local computer account.