RDP permissions may cause PSM Sessions connection problems.
If you have trouble connecting to a server and are only receiving grey VNC screen, it could be that your RDP permissions are not configured correctly on the target server.
Please ensure that the user account you are authenticating with has permissions to remotely login to the server. Also check the level of authentication required.
If you have your RDP settings configured as: Allow connections only from computers running Remote Desktop with Network Level Authentication (more secure)
Try changing this to: Allow connections from computers running any version of Remote Desktop (less secure)
After this setting change, you should be able to establish the session connection successfully.