Hi,
According to your post, I can understand you have setup Server 2012 with RDS virtual machine based and found issue with user login to VM.
In accordance to this, I suggest you to cross check again with below link:
http://blogs.technet.com/b/canitpro/archive/2013/04/25/step-by-step-deploying-virtual-desktops-with-windows-server-2012.aspx
Virtual Desktop Collections available in 2 types:
1) Personal
2) Pooled
Among this 2 types, which type you have setup.
As per my thinking the issue related to UPD (User Profile Disk) settings.
You can refer to below link for UPD setting:
http://blogs.msdn.com/b/rds/archive/2012/11/13/easier-user-data-management-with-user-profile-disks-in-windows-server-2012.aspx
Hope this helps!
Thanks.