I'm pretty sure that is a security feature. We used RDCM a lot at work, and as such, send the .rdg files to people as they come onto the team.If you have credentials saved within the file and open the .rdg as a user other than the one that created it, those credentials are no longer available. Just right-click on the server group, or server, and go to the Logon Credentials tab and type in the credentials that you want to use.
Heavy is good, heavy is reliable. If it doesn't work, you can always hit them with it.