The only way to get Immunet working on a Terminal Server is by disabling the auto statup of iptray.exe. Simply run MSCONFIG on your terminal server and disable the auto startup.
If you need the GUI for some reason as an admin, you just simply start it up from the start menu, then right click the icon in the system tray to open it.
The service that protects your server will be running in the background for all your Terminal Server users, despite iptray.exe not running. As an added bonus, no end-user gets to poke around in the settings (optionally you can even remove the start menu entry, and just add a shortcut to the admin desktop).