It seems KDE uses some magical grab of the Windows keys that we cannot prevent. Pressing and releasing a Windows keys does properly send the keys over ThinLinc, but it then opens the KDE menu which moves focus away from ThinLinc.
It does however seem to avoid this if you combine the Windows key with something else. E.g. Win+S.
I seem to recall seeing something like this on a Dell Wyse terminal. In that case we discovered that it was using some XKB event to monitor special keys, rather than having a classic X11 grab. KDE might be doing something similar.