This issue came up multiple times over the years and with RDS and WVD being more popular than ever I decided to share it again.
In order to change your password on a Remote Desktop or Windows Virtual Desktop session you need to type the traditional Crtl+Alt+Del. The issue with that is that will couse your current OS to go into the Lock – Switch user – Signout – Task Manager screen.
In order to succeed at this task, use Ctrl+Alt+End instead.
Happy remote work!