If it can disable DWM started like that, why can't it disable it when I start it from remote desktop? That can only mean that it's not absolutely necessary, so there's no reason for the start from remote desktop to fail. In my book, as a former software support manager for a large computer company, that's a bug.
I've just had this problem too. There's another reason: you will get this message if you use Affinity via Remote Desktop. It appears to be a bug: I can start Affinity from a local display, then move to remote desktop without stopping Affinity, and then continue on the remote desktop.