This feature will work BEFORE your password has expired.
Once you're logged into remote desktop, press Ctrl + Alt + End. Control + Alt + Delete does not work on remote desktop. You need to use the End key instead of Delete (Ctrl + Option + End). You should see a window similar to the below, which will include an option to change your password.
After changing your password, you may be prompted to log out and log back in, to synchronize changes. Please remember to update mobile devices / computers with your new password.
There may be a 5-10 minute delay for your password change to update with Microsoft's 365 services.