I had that issue as well on my 1809 image running the Horizon 7.6 agent...it ended up being a Group Policy that hide the Lock option from the CTL+ALT+DEL screen.

Seriously taxed my Google-Foo skills.  And why does it cause a long black screen pause...?  No idea.  But it fixed it.

Just do a CTL+ALT+Insert on your VM and see if LOCK is missing!

If it's that, we can all laugh together...