Some people recommend using ….control + alt + end on a RDP session to bring up that Windows Security screen, but it does NOT work on nested RDP sessions.
This procedure is the only one which worked for me on a Windows 2012 R2 RDP session:
- Click Start
- Type osk (to bring up the on screen keyboard)
- Hit enter
- Once the on screen keyboard is open, hold ctrl+Alt on your physical keyboard, then click on the del key in the on screen keyboard.
- Minimize the on screen Keyboard
- Click Change a password.
PS: Thanks a ton for the tip, Bill!