There needs to be a way in the preferences to set the default for new connections to be a window.
Currently, there is no way to change the default for new connections from using all monitors at full screen. Therefore, every time a new connection is made, you must go into the settings of that new connection and change the display properties so it doesn't take over the full screen.
I also use Acronis. This has a feature to connect to the client via RDP. This connection is created on the fly, so there is no saved connection available to modify the properties.