If I enable Grab All Possible Keys and hit Ctrl+B, it will go to the remote desktop. If I then click to a different window on the local machine and then click back to the remote desktop window and hit Ctrl+B it will open the Add Bookmark dialog. Inspecting the Grab All Possible Keys setting in the menu will indicate that it is on. Turning it off at this point and hitting Ctrl+B on the remote desktop will NOT show the Add Bookmark dialog (ie the Grab All Keys is still active). Turning it back on and hitting Ctrl+B will still not show the Addr Bookmark dialog (actually correct behavior). 

It is clear that at the very least the menu option is not reflecting the state of the option within the application, but beyond that the feature essentially does not function if one is switching between local windows and the remote desktop.

This behavior is maddening and leads to the user not knowing when (if ever) Ctrl+B or Alt+Tab will be interpreted by the local system or the remote system, leaving desktop-level shortcuts (or shortcuts mapped by KRDC) to be almost useless while using remote desktop on KRDC.