In Ubuntu tsclient when you disconnect from the terminal server and/or it is disconnected it again tries to connect by itself. This can be annoying at sometimes when you want to hangup the VPN connection. Whilst browsing the Ubuntu kb, I found that this had gathered a lot of interest amongst co-Ubuntu users too. Check out http://brainstorm.ubuntu.com/idea/1035/.
A quick and working workaround for the issue is open the appropriate .TSC file from your home folder and add the following line:
Now it should not bug you in auto-connecting till Ubuntu releases a patch for this bug.