This warning is mainly related to trying to redirect the smart card to the RDP session. This issue didn't occur with Server 2008 or 2008R2 because the driver store in 2008 and above is huge and incorporates a lot of drivers while mostly the 2003 system doesn't have the needed driver.
If you passed by this issue then you have three different options as follows:
- Disable this device on the laptop (If its not used) and it won't be redirected.
- Install the Smart Card driver on the 2003 server (You may face some problems for driver availability and compatibility).
- Uncheck the smart card box in the MSTSC settings before establishing the RDP session.
I picked option 3 which was the safest and convenient option by unchecking the Smart Card from the MSTSC settings - Show Options - Local Resources - Local Devices and Resources - More - Uncheck the Smart Card option.
After that you can RDP normally to any old 2003 server without getting this warning.