Your getting the first error because windows first tries the logged on user credentials. This known as pass-through authentication, if this fails you are prompted for user credentials.
To over come this u need to create identical users (for example: djohn) on both SCVMM server (local user, not domain user and doesn't have to be administrator) and the client machine. Password also have be exact same.
Have you tried installing the certificate to a user and tested if you can bypass this ?
The third error normally occurs, when you try to open a VM which open somewhere else. Is that the case here?
Regards,
Shahid