>>Alternately, win+R will get you straight to "Run new task", but I'm not sure on which machine, i.e. will it be on your local box or inside the RDP session. Depends on your remote client and how it passes these kinds of key combinations (or doesn't).
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>Win+R starts Run new task on my PC, not on the RDP session.

I'm using Remmina (on Linux) as a RDP client, and have found that most of those nice shortcuts work on the wrong machine. Or when I tried to change the settings, I had a mess of different kind, so I reverted and learned to live without them. But it'd be nice to have them.