I had this problem, when trying to connect with the External Authentication Method, using the Remote Display server in VirtualBox (4.1.8 and 4.2.0). When I want to connect with Microsoft’s Remote Desktop (mstsc.exe), it failed every time with “Your Remote Desktop session has ended. Your network administrator might have ended the connection (…)”.
(When using MSRDPClient, please read the comments).
Setting up Simple External Authentication
If you need to set up the Simple External Authentication, please read my other blog post Adding VirtualBox Simple External authentication.
Install Extension Pack
First make sure you have installed the VirtualBox Extension Pack (!), otherwise this functionality does not work at all! It looks like this would work without, because the Remote Desktop Server Port option is available without installing it, but it isn’t!
It seems it only works when one selects Allow me to save credentials in the Options -> General Tab in Remote Desktop Connection screen.
Using localhost should work (because you connect to the host where VirtualBox is running and not the guest!), but from the documentation, if this does not work with mstsc.exe, try 127.0.0.2.