In Desktop Lock sessions, the Windows logo key+L key combination is directed to the local computer. In most cases, Ctrl+Alt+Delete is directed to the local computer. Shift+F2 cannot be used to switch a full-screen desktop session to windowed mode. However, this key combination can be used in any application sessions within the desktop session.
Ctrl+Esc and Alt+Tab are sent to the remote, virtual desktop.
Key presses that activate StickyKeys, FilterKeys, and ToggleKeys (Microsoft accessibility features) are normally directed to the local computer.