I was having the same problem in the environment I manage, on XenApp 6.5. Terminals would randomly disconnect from their session and when they did they would shut down.
ConfGen is right, you can disable the auto-shutdown in the INI file, but for me this did nothing to prevent the disconnects. For us the issue went away completely when we upgraded to the latest firmware (which at the time was 2.0.104) and has never returned.
Having said all that, I would strongly recommend skipping 2.0.104 and going straight to 2.0.105 as 104 introduced a large number of mouse lag issues for us, which 105 resolves.