If you switch between embedded and full screen mode in Remote Desktop connections, sometimes the connection bar at the top disappears and you may have a hard time to exit full screen or restore the connection bar - especially when the Windows Key redirection is enabled.
To show the connection bar, press CTRL + ALT + HOME
If the connection bar still doesn't appear, you can exit full screen by pressing CTRL + ALT + BREAK
You can find more shortcuts under Remote Desktop connection shortcuts here:
Note: the Remote Desktop shortcuts may only work when Windows Key Passthrough is disabled in the Remote Desktop connection properties under Advanced -> Input.