The "Save As" button at the top of the dialog is just to save configurations as presets, to quickly switch between them. Be sure to click the ASSIGN button after entering your selected keyboard shortcut. To save your changes, click the OK button at the lower right corner of the dialog.
When you've setup your shortcuts as you like, the OK button should write them to an XML file that is stored at user/Library/Preferences/Adobe/Audition/4.0/Shortcuts/Custom.xml If that file doesn't exist or doesn't appear to have the timestamp from when you clicked OK, then we may want to see if there's a permission issue writing to this location.
Thanks. All seems OK with the XML files re: timestamps. At least one of the XML files has a couple of my key assignments intact. I'll try again, making sure I don't hit the Save As button.
BUT, given multiple shortcut Sets, how do I "quickly switch between them"? I looked again through the menus and again found no way to make sure I've selected the right Set.
Set selection isn't made via the Edit Keyboard Shortcuts pane, is it?
Yes. Once you've saved a preset configuration, you can switch to the defaults or any other previously saved configuration by opening the Keyboard Shortcuts dialog, choosing one of the presets, and clicking OK. The "Save As" button allows you to save the current configuration as a new preset, while "OK" confirms the changes you may have made, but doesn't store them as a preset.
An Edit pane seems like a strange place for preset selection, but now that I know the secret...