Unlike rdesktop, when I press ALT + F4, it doesn't react in the Windows system, but it closes the remmina window.
Remmina has this configurable in the 'Preferences' -> tab 'Keyboard' -> Field 'Grab keyboard'. On my Ubuntu installation this is the right Ctrl key.
Works for me and seems to behave like a toggle key. Pressing it again makes modifier keys working on the local machine again.