I think I found a bug:
I was adding a custom key command to “Duplicate to staff below” on shift+alt+M, coincidently assigned to Create Marker. I said ok to the next dialog box, asking me if I wanted to assign it and deleting the previous key command, only to find that it didn’t removed the factory-assigned key command.
I just tried that same command reassignment and it worked correctly for me. Did you definitely click “Add key command”? Sorry if that’s a dumb question. Demo here: https://i.imgur.com/5AG2GNy.gif
What OS? and what keyboard language? Not sure if those are pertinent questions.
I was able to assign it, but I had to manually delete the command from the “Create Marker” setting.
I’m using macOS Mojave, with Portuguese keyboard.