Hello Dan,
this is kind of "correct" behavior of WPM. When WPM runs transaction in player, it really uses full window UI to host the web browser. However it runs in "service" session which is normally invisible. If you have certain computer policy set, you get that "Interactive session" message whenever WPM opens its window in service session. If you need to use that machine regularly for RDP, you can go to Windows services and stop and disable service "Interactive Services Detection". That will stop those popups.