I think you are missing step 5: you have to click in the box [input field] under the “Press shortcut” button, as explained in the manual:
1. Press Ctrl/Cmd-, to open Preferences.
2. In the category list, click Key Commands.
3. Search for the name of a function and select it.
For particularly long names, you can hover over them to see a tool tip.
4. Optional: If the function already has an assigned key command, click Remove Key Command in the Key Commandssection.
If you assign a new key command without removing an existing one, you can use either key command.
5. Click the Press shortcut input field.
6. On your computer keyboard, press the key command that you want to assign.
7. Click Add Key Command.
If the key command you pressed is already used by another function, a warning is displayed.
8. Click Apply, then Close.