The Security Options box will then appear. To access the “Change a password” interface, click Change a password.
However, the key sequence to open the Security settings should be “fn + Control + Option + Backspace” if you connect to a Windows computer via Remote Desktop on a Mac using the Mac keyboard.
You must now enter the new password twice and the old password once, and you must click the arrow icon to put the new password into effect.
A notification stating that your password has been changed will appear after a while. To return to the remote computer’s desktop, click OK.
It its always recommended that you use a strong password and consider restricting access to your RDP using a VPN service or strong firewall rules.