In Terminal Server, each active window is allowed to have its' own keyboard local.
When you change windows, the last keyboard locale for that window is used.
If you have the default ALT+SHIFT key set as the locale toggle hotkey, the ALT+SHIFT+TAB is sent when you press ALT+PAGE DOWN or ALT+PAGE UP, which cause the locale to toggle.
You can reset the default in Terminal Server using Control Panel / Keyboard. Setting the locale toggle to CTRL+SHIFT or none will allow ALT+PAGE DOWN and ALT+PAGE UP to not toggle the locale.