Remote desktop for Mac with multiple monitors doesn't blank screen

Using Microsoft Remote Desktop for Mac version 10.9.5.

I connect to a Windows 10 laptop over RDP and have it using all monitors.  This works fine, but when the Windows screen lock activates, the main monitor goes blank or returns to the login screen, however the other monitor continues to display the Windows content containing potentially sensitive information.  If I click on either of the RPD windows on either screens, then the second screen goes blank.

All the screens should go black when the screen lock activates.

Hope that makes sense.