After logging into WHS using MSTSC (with Administrator account) and I've finished should I "Start --> Log Off" or "Close" the Window and keep the session running? Eg does a log off just kill the MSTSC session or does it shut down any needed WHS services?
Best practice for Windows Home Server (or for servers in general) is to log off. Even if you were physically logged onto the console you should log off.
All essential processes run as Windows services that will not stop if you log off.