The same problem has already been reported with Windows Server 2012 without solution from Microsoft:
Windows Server 2019 LTSC is up-to-date with the latest updates.
Clean installation with logoff & disconnect policies.
Client OS: Windows 10 1903
Problem Description Windows 10 Client: mstsc.exe remains active after disconnecting Remote apps or disconnecting all resources with wksprt.exe. It is not possible to open new sessions after disconnecting. The only way is to kill mstsc.exe in taskmgr.