Version:            (using KDE KDE 3.5.5)
Installed from:    Debian testing/unstable Packages

The synchronization between the sessions konsole knows about, and the sessions listed in the "Configure Shortcuts" window is broken.  Not all sessions defined by .kde/shared/apps/konsole/*.desktop are listed in the shortcut window but they are listed in the sessions tab of the konsole configuration window.  

Adding a session via that menu (btw, the lack of a "new" button there is probably another bug) will result in all sessions except for either the most recently added, or perhaps the first alphabetically, to be listed in the shortcut window.  In my case those were the same.  In order to get the session for which I wanted to assign a shortcut showing up in the shortcut configuration window, I needed to add another dummy session to "push" the actual session into the shortcut list.  

I could probably better characterize this problem, but since I just got my sessions and shortcuts setup after mucking with it for an hour, I'm not going to mess with them again unless it's necessary.  It seems to be that the sessions appearing in the shortcut configuration window should be populated the same way that the session list in the konsole configuration window.  Implementing that would probably be cleaner than fixing the off-by-one error I'm seeing now.