I work remotely through RDP more times than not and every once in a while, the bar at the top of the RDP session becomes unpinned.  It bugs me and no matter what I do, all of my connections moving forward open with the session unpinned. 

Here's where you can fix this issue:

HKEY_CURRENT_USER\Software\Microsoft\Terminal server Client
"PinConnectionBar"=dword:00000001

As shown above, the value should be changed from zero to one.