I found a way to make this work. I frequently work with nested RDP sessions that go in several levels deep. That's just how I prefer to work, especially with lots of VMs.
Keep in mind that my environment is primarily W7 and 2008 R2.
Here's the scenario: I RDP from Computer A to Computer B, and from Computer B to Computer C.
1) If I want to send CTRL-ALT-DEL to Computer A, I type CTRL-ALT-DEL from Computer A
2) If I want to send CTRL-ALT-DEL to Computer B, I type CTRL-ALT-END from Computer A
3) If I want to send CTRL-ALT-DEL to Computer C, I open the On-Screen Keyboard on Computer B and use it to type CTRL-ALT-END, which sends CTRL-ALT-DEL to Computer C
4) If I try to use the On-Screen Keyboard to send CTRL-ALT-DEL on ANY of those three machines, it refers me to the Start menu, which does not help me at all.
So, to send CTRL-ALT-DEL to a remote machine, simply use the OSK to send CTRL-ALT-END from the session just before the remote machine you are trying to send it to. Works every time.