You can use Ctrl-Alt-Del to bring up a menu to invoke a password change on your local machine. When you RDP to a box, there’s Ctrl-Alt-End but when you are using a jump box (rdp to box1 to rdp to box2), ctrl-alt-end lets you change the password on Box1, but how do you change the password on Box2?

explorer.exe shell:::{2559a1f2-21d7-11d4-bdaf-00c04f60b9f0}

Run that command

And you get the menu to change that password