This is actually a problem/bug in the RDP control from Microsoft and often happens when you press WIN + L to lock your screen while an RDP session has the keyboard focus.

This is also discussed here:

As a workaround you either minimize Royal TS or switch to a non RDP session, or you may also try to use CTRL+ALT+DEL to lock your workstation instead of WIN + L.

If I notice that those keys are stuck, I just hit CTRL, ALT and WIN key a couple of times to "un-stuck" them.