Either they connect you to the machine using the session that is active. this means that you can see what the users sees and preform all the standard operations as if you were in front of the machine but if the post is locked locally you have the same problem.
Thats the beauty of VNC. You can have multiple sessions and still log into the machine even though the desktop may be locked on one session, it won't on another. I'm not sure if this is true with the m$ client... I've only used it on *nix clients.