I had to struggle a bit with this recently. No matter what I was doing I could not get the change password screen on the remote Windows machine.
In older days (say 10 years back, in the Windows XP/Windows 7 days), all I had to do was to press CTRL-ALT-END on my physical keyboard, and this combination was being transmitted to the remote machine as CTRL-ALT-DEL. This of course would open up a screen (on the remote machine) allowing me to change my password.
But it seems this behavior is not there anymore (at least it’s not there if the remote machine is running Windows Server 2012 R2).
So what is the solution? How do I change my password on the remote Windows machine? Here it is. On the remote machine open a command prompt (cmd.exe). In that command prompt type osk.exe and press Enter (this starts the on-screen keyboard application). Now press CTRL and ALT on your physical keyboard, and then press DEL in the on-screen keyboard.
Now you will be presented (on the remote machine) with a screen allowing you to 1) Lock your computer 2) Sign out 3) Change your password or 4) Open the task manager.
Pick option 3) and change your password.