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:

1. Click Start
2. Type osk (to bring up the on screen keyboard)
3. Hit enter
4. 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.
5. Minimize the on screen Keyboard
6. Click Change a password.