i found an explanation why setting compatibility mode on mstsc.exe solves the “localhost” problem…(see here).

sounds reasonable:

“And why does this work? Well, my guess is that mstsc.exe uses something like the Win32 EnumServices API to check if you can run the service at all, and bars you from connecting to any of your network addresses (including, of course, localhost). Windows 98, however, does not have these APIs, and programs running under emulation under XP cannot access them.”