When we connect to certain Windows 2008 R2 x64 servers in a remote location over RDP, then begin downloading a large file in any application (for example IE9, but it's the same in other applications too) and disconnect the RDP session by closing the RDP client, the download is interrupted and reported as failed when we reconnect/resume the RDP session.
There are no network connectivity issues, the RDP session was not ended and this issue can be reproduced every single time. This issue doesn't occur over RDP to Windows 2003 servers or Windows 2008 R2 x64 servers on our LAN.