The Windows Key is not on the list of supported RDP shortcuts therefore its hit and miss if it will work or if you will experience strange behaviors.
The only listed supported shortcuts are as below:
ALT+PAGE UP
Switches between programs from left to right.
ALT+PAGE DOWN
Switches between programs for right to left.
ALT+INSERT
Cycles through the programs in the order they were started.
ALT+HOME
Displays the Start menu.
CTRL+ALT+BREAK
Switches the client between full-screen mode and window mode.
CTRL+ALT+END
Brings up the Windows Security dialog box.
ALT+DELETE
Displays the Windows menu.
CTRL+ALT+MINUS SIGN (-)
Places a snapshot of the active window, within the client, on the Remote Desktop Session Host (RD Session Host) server clipboard (provides the same functionality as pressing ALT+PRINT SCREEN on the local computer).
CTRL+ALT+PLUS SIGN (+)
Places a snapshot of the entire client windows area on the RD Session Host server clipboard (provides the same functionality as pressing PRINT SCREEN on the local computer).
The solution to this problem was that the following service was disabled:
Remote Desktop Services UserMode Port Redirector
After enabling this service and setting to automatic (by pressing win + r and opening services.msc) all was working again.
Edit:
@SemVanmeenen in the comments mentions that restarting the Windows Audio service on the host fixed it for them, and it appears to fix the issue for a lot of other people too.
Best Answer
For mstsc version 6.2.9200 under Windows 7 Pro, Local Resources tab, there's an option to "Apply Windows key combinations." It's a drop-down list. Try setting it to "On this computer," but this will also disable any ALT+TAB you were going to do on the remote machine.