SUMMARY
Certain key combinations (that have an action assigned to them by default in KWin) can't be assigned as global keyboard shortcuts, because when you try to assign them in System Settings and hit the keys, they get intercepted by KWin instead of being reassigned.

This happens only in Wayland. In order to assign these key combinations, you can log out of the Wayland session, log into the X11 session where it works, assign them, and log into the Wayland session again.

STEPS TO REPRODUCE
1. Log into an empty desktop
2. Open System Settings, Shortcuts, Global Shortcuts, KWin
3. Go to "Switch to desktop 9"
4. Click "Custom Shortcut"
5. Hit Meta+9

OBSERVED RESULT
Nothing happens. Key combination Meta+9 is by default assigned in KWin to "Activate window list entry #9" (or whatever it's called in English). Apparently 

EXPECTED RESULT
Plasma asks for confirmation whether I want to reassign the existing KWin shortcut, then Meta+9 is assigned to "Switch to desktop 9". This is what happens on X11

SOFTWARE/OS VERSIONS
Operating System: openSUSE Tumbleweed 20201012
KDE Plasma Version: 5.19.5
KDE Frameworks Version: 5.75.0
Qt Version: 5.15.1
Kernel Version: 5.8.14-1-default
OS Type: 64-bit
Processors: 8 × Intel® Core™ i7-8550U CPU @ 1.80GHz
Memory: 15.4 GiB of RAM
Graphics Processor: Mesa DRI Intel® UHD Graphics 620