Open menus in the panels are blocking shortcuts. i.e. when Application Menu is open, volume keys and custom shortcuts do not work. OS: Debian 8.7
This is not related to xfdesktop (or xfce ?), I can reproduce the bug in any application.
Closing since it's nothing to be fixed from our end, it's a GTK/X11 issue. More details: https://unix.stackexchange.com/questions/347337/why-keyboard-shortcuts-do-not-work-when-a-sub-menu-is-activated