If you don't want to change local or server side GPOs:

Go to Control Panel -> Credential Manager on the local computer you are trying to connect from.
You will see three sections:

1. Windows Credentials

2. Certificate-Based Credentials

3. Generic Credentials

Remove the credentials from Windows Credentials and add it to Generic Credentials.

NOTE: The RDP Network Address (Name Shown) is prefixed with TERMSRV/.

For example, **TERMSRV/1.2.3.4

Source :
**
https://serverfault.com/questions/396722/your-system-administrator-does-not-allow-the-use-of-saved-credentials-to-log-on