Because only one user can use that computer at a time. i am not sure why they do this. I think is it is a licensing problem Say you have a copy of office 2003 on there you only have one license on that computer but if you have multiple people logged in on that computer all using office then you are braking the rules. (I think) that is all i can come up with why you can't do that
If you want to be able to do this with out this to happen you have two options
1) Download Ultra VNC http://www.uvnc.com/ this is a 3ed party Remote desktop software. it is display what ever you computer screen is displaying.
2) Get the Server version of windows