That's how it works when you start a VNC server as a normal user. Whatever's defined in your xsession file get's preloaded, you can disconnect and reconnect to resume, but you can't logout a session and expect to see a login manager. From the security point of view it's not that bad, since you need shell access to start a VNC server anyway and you can protect it with a password.
In order to achieve what you want you have 2 choices, either use XDMCP or load the vnc extension for X.
XDMCP is relatively easy to setup but if you're planning to remote access through the internet X11 isn't a very secure and efficient protocol, plus you need to run X server on the clients.
Vnc extension for X on the other hand has a drawback that it's not truely multiuser, ie if you login and disconnect without logging out, if another person connects they'll resume your session. Though that's more of a limitation on VNC itself, you should at least password protect the VNC Server.
For instructions check out this thread: