Microsoft does not make it easy on some of their releases to change your password from a Remote Desktop (RDP or Terminal Server) session. The following appears to work in all scenarios as of this date (2021/07)

Basically, we start the On Screen Keyboard and use it to send a ctrl-alt-del to the remote system.

1. Start
2. Command Prompt
3. type osk and press Enter
4. Press control and alt on your keyboard, and click the Delete key on the on screen display
5. Click the X on the on screen display to get rid of it
6. Click Change Password
7. Enter your old password, then your new one twice
8. Press Enter
9. Click the X on the on screen display