Hi,
I believe that Support will provide you with better answer than I. From the messages sequence that you have posted, I can see that there was an attempt to open the RDP session and this attempt failed. It is not clear to me what these messages originate from. From TestComplete, Jenkins or some other application.
Also, I am not sure about the RDP session itself. To my knowledge (and to the experience I've got with Jenkins), I would expect the following scenario:
-- TestComplete is installed on the Jenkins slave;
-- Jenkins slave box has an active not locked user session with Jenkins slave running within this session as a regular Windows application;
-- Now Jenkins master contacts this given slave box, deploys tested application and test code to it (if required) and provides slave application with command line to start TestComplete;
-- Slave application starts TestComplete and provides it with command line arguments to start tests execution;
-- Jenkins master waits until TestComplete exits and reports the result.
The key above is that the user session already exists and there is no need for new RDP session. The only case when TestComplete opened RDP session by design was for Network Suite mode, but this seems to be not our case.
BTW, when there is an attempt to automatically open RDP session, nothing should prevent this on the client side. For example, display of Legal Notice screen ('You are accessing computer that is the property of...') requires user action and prevents automated creation of the RDP session if not manually assisted.