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