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...
