Since the company I work for are working with a lot of different clients, most of my work happen in remote desktops on different client networks.
Hence I have created a dedicated VPN client machine on HyperV that I use for connecting to these networks using different VPN clients.
Since most customers have disabled that you can run VPN from a remote desktop client, you need to connect directly from a host session in HyperV rather than connecting to it remotely.
I recently upgraded that machine to Windows 8.1 Enterprise 86x, and noticed that even after upgrading my Cisco AnyConnect to latest release (that works with Win 8.1) my session was detected as a remote desktop and connection was rejected with the error "VPN Establishment capacity from a remote desktop is disabled. A VPN connection could not be established".
One of the new features in Windows 8.1 is the ability to copy/paste directly into the HyperV host session, which was something you could only do in Remote Desktop in earlier versions. This turned out to be the caveat: once i disable Enhanced Session from View > Enhanced Sessions and log in again, the VPN connection worked fine!