I'm still clueless as about why but this is how I've finally fixed it:
- Launch virtual machine normally, ignore "Enter domain user" dialogue.
- When VM starts, log in as
XPMUser
. - Add VM to domain (you'll need a domain administrator username & password) and restart VM.
- Log in as
XPMUser
for the last time. - Open "User manager" (right click on "My Computer", then "Administration").
- Add to the "Remote Desktop Users" group either your domain user or the whole domain users group.
- Send Ctrl+Alt+Del to the VM and do a full shutdown (I did it just in case, not sure if it's required).
Now, I can launch the virtual app of my choice and log in using my domain account (and I can have my credentials stored if I choose to). I can even run them simultaneously.