Why doesn't WTSConnectSession work when I first tried it?

Because the MSDN documentation on WTSConnectSession is wrong.

If you follow it:

Parameters

LogonId [in]

The logon ID of the current session, where the user of that session has permissions to connect to an existing session.

TargetLogonId [in]

The logon ID of the session that you want to connect to.

And call the function this way, your program will merely disconnect your current session with ERROR_NOT_CONNECTED, leaving you to wonder if the execution of the program stops in the middle of the call.

Once you find out that WTSConnectSession is just a wrapper for the undocumented WinStationConnect, which exists in earlier versions of Windows than its wrapper, you should realize that the first two parameters as documented are swapped.