"Remote desktop session has ended" error when connecting to a guest on VirtualBox

I had a problem connecting from Windows using build-in Remote Desktop Connection program to a a guest on a headless VirtualBox server. I found that the reason wast that I did not checked "Allow me to save credentials" option in a Remote Desktop Connection.

With this option, the client will ask for username/password before connecting to the VirtualBox. Thus it seems, that VirtualBox requires user credentials at the very beginning of the session. Without this option, connections will fail.

I was using VirtualBox 3.2.4 in a headless mode running on a CentOS 5.5 x86_64.