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.
As a workaround you can 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 you notice that those keys are stuck, just hit CTRL, ALT and WIN key a couple of times to get them “un-stuck”.