Microsoft Remote Desktop sessions closed when Macbook Pro display turns off
Does it do it when the screen sleeps, or when the computer sleeps? 

If only when the computer does, then set System Prefs > Energy Saver - Computer Sleep to never &amp; Display Sleep to whatever you like.  



You can then test using System Prefs > Desktop &amp; Screensaver > Hot Corners &amp; assign one corner to put the display to sleep.