I also work on a Mac with InDesign CC 2014.2. I'm running Yosemite. I also notice that that keyboard shortcut isn't working. I can't see an obvious conflict (like system shortcuts).
Try using Edit > Edit Keyboard Shortcuts to assign a different shortcut. On a Mac, you can use the Ctrl key which isn't usually used. Ctrl-D works fine for me.
This problem is not Yosemite (OSX 10.10.x) related. I can see this problem also on my InDesign CC-2014.2 on Mac OSX 10.7.5 (German).
To my surprise I see ALT+CMD+U as supported KBSC in my shortcut set that is installed by default (in contradiction what the mneu command is showing).
And ALT+CMD+U is working in my case (I'm on a German version).
Thanks for the @Uwe. Step repeat is definitely a means to an end.. but if you want the shortcut key for duplicate it looks like you have to re-assign
Thanks @SteveWerner. Re-assigning worked out. Now I just have to retrain my brain.