When connected to a Windows Server via Remote Desktop (RDP) your can’t press CTRL+ALT+DEL the get to the “Change a password” prompt. If you do the prompt will be displayed on your local computer and not the server.
The below are a few different methods you can use.
If you are using a Windows client to connect to the server the easiest option is to press CTRL+ALT+END rather than CTRL+ALT+DEL
If you are connected from a Mac client you most likely will not have an END key. Instead you can open a PowerShell prompt and run the following
(New-Object -COM Shell.Application).WindowsSecurity()