I found this on a Technet thread: https://social.technet.microsoft.com/Forums/windowsserver/en-US/2b67fa96-707b-47c4-90f5-c3a087ba16a9/how-do-i-change-password-when-connected-to-remote-desktop?forum=winserver8gen

Did a quick test by creating a Change-Password.vbs script with this on it:

Set objShell = CreateObject("Shell.Application") objShell.WindowsSecurity()

I ran the above vbScript on a terminal server session and it brought up the Ctrl-Alt-Del screen. You then have to click Change a password to get to that screen.