It would appear the Server 2012 RDS Login does not support using the UPN. This does work fine on a 2008 R2 RD Server.
if I try to login via the remote desktop client(latest version) using a UPN it goes to the login screen and says the user name or password is incorrect. The username then appears as " \user@mydomain.com". It authenticated properly to the rd gateway first.
If I then manually type in the UPN on the logn screen it will work.
If in the RD Client I use: "domain\samAccountName" it works
If in the RD Client I use: "domain\user@mydomain.com" it works