Apparently, by default, Windows Server 2008R2 doesn’t accept Ctrl-Alt-Del keystrokes from the UltraVNC service. This website provided the solution:

  1. “Start menu” -> “Run…” – > gpedit.msc
  2. Navigate to “Computer Configuration” -> “Administrative Templates” -> “Windows Components” -> “Windows Logon Options”
  3. Double-click on the “Disable or enable software Secure Attention Sequence” parameter.
  4. Check “Enable”, then select “Services” in the combobox.
  5. Apply the modification