Win10 21H1 build 19043.1526

I use Remote Desktop to access a test/sandbox PC. Very often when I access it a backup or other long-running process starts so I usually disconnect rather than putting it to sleep when I'm done. I just noticed that if I re-establish a remote desktop connection before the PC goes to sleep I don't need too enter my password - I'm taken directly to my desktop. (It's taken me only 2 years to notice that!)

Should I be doing a Lock instead of Disconnect? And if I do a Lock or Sleep, how do I gracefully break the remote connection? Trying to close the window just makes it hang until some timeout expires. Do I have some parameter set wrong?