I think this has to do with how logouts are handled. If a user logs out, then I believe that root takes over the X session in order to display the login prompt. If that is the case, then VNC can't show you the login screen because the VNC session is limited to your user and can't show root's screen. In other words, once you log out, there is no X session for VNC to display.
Of course this begs the question of why you would log out of a VNC session in the first place. In general, if you simply close the client session, no one should be able to access it without your username and password. If you want to add more security (or use VNC across the internet) you could tunnel it through an SSH session.