I suggest you stick with F12 since you use it for other things. Looks like based on default settings Shift+F12 Shift+Ctrl+F12 Shift+Ctrl+Alt+F12 Shift+Alt+F12 are still available. And it would be nice to be settable in HotKeys like the others.
Note that, really, it does not have to be, technically, "cycle between local windows", but more like "shift focus to local window manager". Once that happens, Alt+Tab and Shift+Alt+Tab will be serviced by local window manager. As will Window+Tab and Shift+Window+Tab. This would require say Shift+F12, then let go of keys, then Alt+Tab. So it takes one separate key combo extra to start cycling. For example, what I do now, when focus is on the remote window, is click the task bar of the local windows, then Alt+Tab works locally.
This makes sense. We'll think about it on the next meeting. It is very likely that we will rework this feature anyway.
One more detail. When you do Alt+F12 (or click the icon) to go into view only, all the keystrokes STILL go to the remote window manager. Instead of that, in view only, it would be nice if Alt + Tab Shift + Alt + Tab Windows + Tab Shift + Windows + Tab went to the local windows manager, much like they do for any other window of any other program that's in focus.
BTW, we were thinking about maybe changing the Shift to something else, like "A" key for example. Sometimes people indeed use Shift - Alt - Tab to cycle backwards and they expect to find this behavior available during RU session.