If you’d like to clear the Most Recently Used (MRU) list from your remote desktop client, you probably Googled and found KB312169, How to Remove Entries from the Remote Desktop Connection Computer Box which describes how to edit your registry to clear this list. You went in and blanked these all out. You started the Remote Desktop Client, and they are all gone except the last one. There is a file saved in your [My] Documents directory, Default.rdp, that contains this information. If you need to clear the list completely, you’ll want to delete this file as well.
Note that you will lose your default Remote Desktop Client settings (screen size, local resources, etc.) when you delete this.