If I press <Alt>F2 the application that has focus gets the key presses. If I set /xfce-keyboard-shortcuts/commands/custom/<Alt>F2 to the same value as it is in /xfce-keyboard-shortcuts/commands/defaults which is "xfce4-appfinder --collapsed" pressing <Alt>F2 now brings up the app-finder.
This is the same situation for all keys listed under /xfce-keyboard-shortcuts/commands/defaults.
Keyboard shortcuts are taken from /xfce-keyboard-shortcuts/commands/custom/ which is initialized for the first time with /xfce-keyboard-shortcuts/commands/defaults. That way, if Alt+F2 is not in the custom properties, it sure won't work.
Default keyboard shortcuts are only used the first time you use your session or when you click on "Revert to defaults" in the settings dialogs.