It seems that in Windows XP SP 3 the command MSTSC /CONSOLE, that allowed you to connect to the console session, has been removed and replaced with MSTSC /ADMIN. The same also applies to Vista SP1 and Windows 2008.
The reasons for this are outlined in the article below from the Microsoft Terminal Services team blog. I am repeating the details here to save you having to spend hours working out why you aren’t seeing what you might expect.
Thanks to Andy at Plus Development for the tip.