>I am connecting into a hosting center VM by the usage of RDP. Then, when I am on it, I use SSMS to verify a few things. When I am done, I close SSMS.
>
>What I find strange, is that on occasional basis, when I connect back with RDP, SSMS is waiting at the connect dialog. Anyone would know what is causing that?

Haven't seen that - is it possible that some one else has logged in using the same credentials after you exit?