We've had the same issue. When we first started moving from full RDS desktop sessions to RemoteApp and I had to setup Login VSI to test, the whole prompting for creds came up. I found out that users are 'used to' entering their creds twice (This is NOT Citrix! :)) This is really an issue with MSTSC.EXE which doesn't allow creds to be passed to it . This is by design, for security reasons. You are SUPPOSED to be able to modify the credential store and use that to SSO, but I have never been able to get that to work.
One of my newer team members wrote a wrapper in C# that lets us automate this, but we're using our own broker and not RDWEB.