The privileged desktop seems to terminate when the "Settings" application is selected from the taskbar context sensitive menu.
The privileged desktop does not terminate. Rather, the Centrify Agent for Windows switches back to the Default Desktop so the "Settings" application window will be realized.
The "Settings" interface is a WinRT (Windows Runtime) application that cannot run as the Administrator, therefore it cannot be launched in a privileged desktop. WinRT applications always launch in the Default desktop. When the user clicks on "Settings", the application window will be created in the Default desktop. With the privileged desktop opened, the Settings application window would seem to not appear. To prevent the user from thinking the Settings application is not working, the Windows agent switches back to the Default desktop.
The same behavior is seen when the "Personalize" and "Display Settings" desktop context menu applications are selected.
The Centrify Agent for Windows is working as designed. The user should use the Centrify system tray icon to switch back to the privileged desktop.
See KB-11074 for instructions for using Powershell to run Windows Update on an Elevated Desktop