Isso parece que pode ser bug # 1292290 - Keybindings gerenciador de janelas não funcionam após a reinicialização . Uma solução alternativa é mencionada lá:
I found a workaround: clear before reassign!
To make a shortcut to work ok, select an action you want to reassign and click 'Clear' button until it will really empty. Sometime if there is some (hidden?) duplicates, you will still see some shortcut (the same or different), even you clicked 'Clear' button. In this case just click the button again. Since the action shortcut is really empty, just assign your custom one as usual, and it will work ok :)
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Someone on #xubuntu or #ubuntustudio (can't remember) mentioned a workaround for this:
You simply have to delete the current key mapping twice before setting a new one. Then the new mapping will be stored in the config.