In general when using a device to access a Virtual Desktop (using hte RDP protocol) the keyboard shortcut are not always available in the Virtual Desktop but are managed by the local device.
Please read carefully this link to manage the Windows keyboard shortcuts: https://blogs.technet.microsoft.com/keithmayer/2012/06/07/passing-the-windows-key-to-a-remote-rdp-session-with-windowsserver2012/
WIN + L keyboard shortcut
"WIN + L" is never sent to the device and is always managed by the local device.You can use the "CTRL + ALT + END" shortcut to access the Virtual Desktop Windows Security dialog box and then select "Lock" to lock the session.
CTRL + ALT + DEL keyboard shortcut
"CTRL + ALT + DEL" is always managed by the local device and shows the device Windows Security dialog box. The available options will depends from the user that is accessing the Security dialog box.You can use the "CTRL + ALT + END" shortcut to access the Virtual Desktop Windows Security dialog box and then select "Lock" to lock the session .