I looked at the different fixes for this issue, but haven't found one that works yet. Some of our users get this message (including my admin account) when logging into our RDS servers. We are using User Profile Disks and that seems to be working well.
I saw the fix in W2k8 was to go to the Security of the c:\users\default folder and make sure to "Replace All Child Object Permissions...", but I haven't found a fix for this issue in W2k12R2 yet.
Thank you,
SJ
Steve J.