In the shortcut preferences I removed the combination Ctrl+Shift+W to use it in vim, but yakuake keeps using it as "close session". I tried the same in Konsole and it works ok.
Just a note: - Right click on the tab bar shows the "Close session" action with no shortcut assigned. This is the desired behaviour. - Right click on the terminal window shows the "Close session" action with the default shortcut assigned (Ctrl+Shift+W).
This is actually a bug in the Konsole KPart component, sort of - removing the shortcut in Yakuake works, but the KPart still has it set (no matter what its context menu claims) and Yakuake can't remove it there.
*** This bug has been marked as a duplicate of bug 319172 ***