This procedure is the only one which worked for me on a Windows 2012 R2 and 2016 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.