They work intermittently for me, and usually not. This is not a user issue, it's a bug in the software. Worse, this is a bug that's been getting worse with every edition of Flash since Flash CS2. Are we ever going to get this sorted out, or should we all just start trashing our preferences as a habit?
I've seen two problems with keyboard shortcuts
I usually try to head off the first by backing up my shortcuts regularly. I'll also check to see if this has happened after I add a new shortcut. Often if I see it and quit and reopen, it fixes itself.
I think there's a setting you can use for the second, but I find that launching my swfs from Flash Builder works better for a variety of reasons (such as you can launch it in debug mode repeatedly without recompiling), so I don't encounter #2 often.