The ability for a user to change their password when it has expired via the Remote Desktop Services webpage is disabled by default.  Enabling the feature is quite simple, but with anything take a moment to consider the security implications and make sure that your organization is okay with the risk.

Connect to the server that hosts the RD Web Access role and launch IIS.  Navigate to Sites\Default Web Site\RDWeb\Pages and select Application Settings.

Locate the “PasswordChangeEnabled” setting, open it up and change the Value to “true”.

Click OK and you’re off to the races.