Exit remote desktop (RDP) without leaving local PC locked

From command prompt:
query session
Exit command prompt

Use the Session ID (in the example below, ID = 2), and in Windows Run:
tscon.exe 2 /dest:console

!Update: A neat script to automate this is found at https://support.smartbear.com/testcomplete/docs/testing-with/running/via-rdp/keeping-computer-unlocked.html