How do I change password when connected to Remote Desktop on Windows Server 2012?

Press CRTL+ALT+END

this is in essence the same thing as CTRL+ALT+DEL, it will display the login security screen where you can change the password, lock the computer, shut down, etc.

If you are doing RDP within RDP then this might work for you:

Press WindowsKey+R (or get the Run box open) – then type OSK (It will open ‘on-screen-keyboard in your remote-remote session). Or open on-screen-keyboard in different way.
Then press on your physical keyboard (not on that on screen!!) ctrl and alt keys. Using your mouse tick DEL key on ‘On-screen-keyboard’.

From https://social.technet.microsoft.com/Forums/windowsserver/en-US/2b67fa96-707b-47c4-90f5-c3a087ba16a9/how-do-i-change-password-when-connected-to-remote-desktop: