Remove disconnect option from Shut Down dialog - This policy is found under Computer Configuration\Administrative Templates\Windows Components\Terminal Services and setting it to Enabled can help enhance the performance of your Terminal server. Reason is, it prevents users from using the Shut Down dialog and disconnecting their Terminal Services session instead of terminating their session. If a Terminal Services session is disconnected, the session continues to run on the Terminal server and uses up server resources (processor, memory, disk). If a session is terminated instead, the resources used by the session are released for use for other sessions. So if your Terminal server is working near capacity to support your users, it's important that users not be allowed to disconnect their sessions and leave them running on the server and hogging resources that could be used by other users. The downside of this policy is that it only removes the disconnect option from the Shut Down dialog and doesn't prevent users from disconnecting their session in other ways, for example by disabling their network connection. As a result, you should also configure the next policy as well.
herfra
http://www.windowsnetworking.com/articles_tutorials/Terminal-Services-Group-Policy.html