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The desktop policy must be configured to get the SSO working properly. If your clones belong to a Windows domain (see the section on how to get them join the domain with Sysprep), write it in the "Windows domain" field of step 2, so that it is passed along with the username and password as part of the user's credentials.
Once done, you should be able to log into your desktop automatically. Of course, this feature only works with authenticated terminal policies.