I initially reported this to the Visual Studio Code team (https://github.com/Microsoft/vscode/issues/29092), thinking it was on their end, but it appears this happens with other applications, like Konsole, as well. If this is not directly related to kcm_khotkeys, then please give guidance on where to report, or even help troubleshooting for insight into the cause. Anyway, when I attempt to set up a keyboard shortcut for Ctrl+Shft+U in any application, like Konsole, the U is never sent to the application. Of course, U works with other combos. You can use this https://jsfiddle.net/v1gz5c5m/1/ to see what exactly is reaching the browser. (Ctrl+Shift is OK, Ctrl+Shift+U's U is not getting sent to Chrome, either.) I tried to set up a Global hotkey in the Plasma Settings app to send the key combo to the Active Application when it gets pressed, and the Settings component is receiving the full input, but it also is not working--i.e., the combo is not getting sent to the Active Application. This is a very odd, bug.
Please ask for help on a forum of your distribution. There are known (non-KDE) applications that register global shortcuts, but since these are not listed in systemsettings5, we have no way to detect conflicts. Examples would be input method helpers (IBus, Fcitx), all kinds of media players, or any other application or tool that sits in the background. If the shortcut was taken away by a KDE application, you would have got a conflict dialog.