Just out of curiosity. What would happen if I connect remotely to a Windows pc, and then from that remote pc remotely connect back to the original machine? Is this how black holes are formed, or would I just get an error that I can't connect?
Depends on the software. If you are talking about Remote Desktop, you will just get dropped from your original session.
I.e. you are on PC-A connecting to PC-B. From your session in B you try to connect back to A. Once you do this and enter your credentials, your session on A will be overridden by the new remote session from B and you will get dropped.