>Have a laptop to enable Terminal Server. Then, from the PC, connect to it with Remote Desktop. Close the connection. Go back the laptop, unlock the laptop with the username and password and see that the Num Lock becomes enable. I can simulate that all the time with the Laptop XP Pro and the PC Windows 7. Is this a normal behavior?

It depends on your definition of 'normal behavior'. :)
Is Numlock on on the PC? You can try to turn it off before disconnecting.