KRDC apparently has multiple bugs with keyboard input. So much that I can't really say "what" is wrong. Bugs 178015, 162723, 338154 and 200776 might all affect RDP connections.

A helpful start to understand what is wrong would be a documentation of how KRDC is supposed to handle keyboard input. It should be possible to tell whether a given key combination should be interpreted by KRDC, by the remote host, or by something below KRDC. For example, should Alt+Tab be interpreted by the local window manager or by the remote host's?

It appears that the answer depends on whether KRDC is fullscreen, or at least on the cursor's position. The "Grab all possible keys" toggle presumably allows the host to grab more key combinations, but I cannot find a definition of so-called "possible keys".