If you use the keyboard to switch to Linux and Windows same example (Shift + Alt), then there is no language switch on Windows session.
Do you want the remote session to know when the local input locale has been switched? AFAIK their no way to automatically switch the keyboard layout on RDP. Auto-keyboard setting works on RDP only upon an initial logon (i.e. if you have a session you need to do a logoff-logon cycle for it to work). Hence, if you want to use "Alt + Shift" on the Windows session, you will need to manually add the desired keyboard locales on the remote session after which the standard "Alt + Shift" shortcut will allow you to change locales (unless you change the shortcut to something else). Thankfully this has to be done only once.
Probably not properly explained. I switch the keyboard layout in Linux (Alt+Shift). In terminal session keyboard layout keys also switches (Alt+Shift). When I press Alt + Shift, I switched layout Linux only. If I install old version 2xclient (9.0-r1091) keyboard layout switches normal. If I install 2xclient version 10 or 11, that keyboard layout switches only in Linux.
I have no right to answer in private, so I will answer here. Use gnome-session-flashback. On Linux, I have two languages English and Russian, switches keys Alt + Shift. On Windows TS Server, I have two languages English and Russian, switches keys Alt + Shift. If on linux using a different combination of switching the layout such as Ctrl + Shift, on Linux and on Windows switches normally. PS: I can make a video and put it on YouTube.
Video demonstration of the work the client version 9 and client version 11(10). http://youtu.be/U8UVRtDo5xE - client version 9 http://youtu.be/NhSxErfVFSA - client version 11