So the problem is this, first comes the first message and then the second. The problem exists when attempting to connect RDP from personal home PCs (not managed by company GPOs and MS update schedules) over VPN.The problem remains and is exactly the same. It doesn't matter if the RDP connection is initiated from a windows 7, windows 10 or Windows Server 2012 R2.
We only have a few windows 10 machines but no issues found on those so far. So please don't ask me to check this on the about remote desktop connection window.