Switching between RDP sessions on OS X El Capital
Same key command as any Mac app…   Cmd ⌘   `  
which cycles through all open windows [in RDP's case, that also includes the 'picker'.]
 Cmd ⌘   Shift ⇧   `  will reverse the direction.

 `  seems to move around depending on which nationality keyboard you have, on a UK keyboard it's left of  z .

 Perhaps others could add in the location for other keyboard layouts…