Just recently I came across some threads where people were discussing how to most easily shutdown/restart their Windows PCs quickly in the remote desktop session. For instance in Windows 8 we see there’s no option to shutdown when right-clicking on Start:

UPDATE: 2016 October

As of Windows 10 Anniversary Update, shutdown options can be accessed by right-clicking on the Start button or pressing Win+X.

The trick: Pressing ALT+F4, after focusing on the taskbar / desktop

Using Mouse+Keyboard

1. Method 1 (All windows versions): Click on an empty space on the Taskbar and then press ALT-F4:

   

2. Method 2 (All windows versions): Click on an empty space on Desktop and then press ALT-F4:

   

3. Method 3 (Windows 7 and up):  Click Show Desktop button then ALT+F4:

   

Using Keyboard only (NOTE: might not work on some Windows versions)

• Method 1: WIN+D then ALT+F4
• Method 2: WIN+M then ALT+F4

Conclusion

The most important thing to get right is the focus on Desktop / Taskbar. With that gotten right, shutting down is easy as pressing ALT+F4.

Happy RDP-ing to you power-users!

p.s. Honestly, i only realized my tricks (Method 1+2 with mouse/keyboard) were the quickest and most compatible while i was googling for an even faster solution, but realizing that everybody else’s workarounds were slower than mine. So i shared it on MS forums, and then decided to share it here.