In the old days, being Server 2008 and back, you could simply click START > WINDOWS SECURITY when you were remoted to a Server and wanted to change your password. For some reason Microsoft removed that applet in 2012 and newer. Worse, you still can not click FILE > SEND CTRL ALT DEL from the RDP window, which is quite annoying.
If you press CTRL ALT DEL on your keyboard while remoted to a server, that input will go to your local PC (not the RDP session) and you will see the typical LOCK, SIGN OUT, CHANGE A PASSWORD, TASK MANAGER from your local PC (not the RDP session)
On Windows Server 2012 and 2016 the only way I can figure out how to send a CNTL ALT DEL to the RDP session you are in is to press CTRL ALT END . Here you can select CHANGE A PASSWORD and change the active users password as you normally would. This is not a big deal other than I cannot seem to remember it and always have to look it up.