Daniel,
You actualy can initialize tests to be launched in rdp session from a locked PC. that's the way I launch the scheduled tests.
You should create an .rdp file with appropriate connection and resolution settings so that it could init the remote sesktop without entering password, set it to execute program on connection and put it on schedule.
We have two virtual test machines running tests overnight on schedule in this way from a build server, except for just tests are executed with psexec utility allowing to execute programs interactively in the specified session.
Regards,
Pavel