Can't say exactly why it's happening but I believe it has to do with how the WGE runs. It's probably the same reason the utilities don't work without a registry entry being changed (as seen at
http://www.pervasive.com//library/do...tall_new2.html):
To modify the security registry setting on a Terminal Server client:
Note
We suggest that you create a backup of your registry before editing the registry. Refer to the online help for your operating system. Look for index entries such as "registry, backing up," or "emergency repair disk."
1. Click Start4Run, then type regedt32 in the Open input field.
2. Click OK.
The Registry Editor opens.
3. Find the following registry key:
HKEY_LOCAL_MACHINE\Software\Pervasive Software\Utilities Interface\Settings\Restricted Access On WTS client
4. Double-click REG_DWORD for the key.
The Edit DWORD Value dialog opens.
5. In the Value Data field, change the value from 1 to 0 (zero).
6. Click OK.
The REG_DWORD value should read 0x00000000 (0).
7. Exit the Registry Editor.
Note
Changing this registry setting to zero grants Pervasive.SQL administrative authority to everyone who has access to the Terminal Server client machine. To restrict Pervasive.SQL administrative authority, you may want to restore the default value of the registry setting after DataExchange is installed. To do this, change the REG_DWORD value back to 1 (see step 5 in To modify the security registry setting on a Terminal Server client

.
You may also use regedt32 to change the permissions on the registry key so that only certain users are allowed to modify the key value.
If you really need to run it in a REmote Desktop type session, then you should look into running it as a service (or switching to the Server Engine, which runs as a service).