SUMMARY
Tested with the May 31 5.0.0-prealpha (git 30754f5f40) portable .zip package on Windows 10 and the May 30 5.0.0-prealpha (git 30754f5) appimage on Debian 10 MATE, Ubuntu 20.04 MATE and KDE Neon (Nov '20).
It also happens with the 4.4.3 appimage.

The Return or Enter key can be set as a keyboard shortcut and will be listed as such in the Settings and recorded as such in 'kritashortcutsrc' but does not function as the keyboard shortcut.

Note: Use of MATE shows a problem particular to MATE as noted in OBSERVED RESULTS B)

This was first reported here: 

STEPS TO REPRODUCE
1. Use the Settings to change the Undo shortcut to Return/Enter then press OK.
2. Try to use the Return/Enter key to perform an Undo action.
3. Use the Settings to revert the Undo shortcut to Ctrl+Z.
4. Try to use Ctrl+Z to perform an Undo action.

OBSERVED RESULT
A) For non-MATE systems:
1. The shortcut is accepted.
2. Return/Enter does not work to perform an Undo action, neither does Ctrl+Z.
3. The shortcut changes to Ctrl+Z
4. Ctrl+Z works to perform an Undo action.

B) For a MATE system:
1. The shortcut is accepted.
2. Return/Enter does not work to perform an Undo action, neither does Ctrl+Z.
    Return/Enter has been recorded in 'kritashortcutsrc' as the Undo shortcut.
3. The Undo shortcut appears to be reverted.
    The Return/Enter Undo line has been removed from 'kritshortcutsrc'.
4. Ctrl+Z does not work to perform an Undo action
    In Settings, Return/Enter is still shown as the Undo shortcut.
    Krita must be restarted to get back to normal operation.

EXPECTED RESULT
1. Return/Enter is not accepted as a keyboard shortcut.

SOFTWARE/OS VERSIONS
Krita

 Version: 5.0.0-prealpha (git 30754f5)
 Languages: en_GB, en, en, en_GB, en
 Hidpi: false

Qt

  Version (compiled): 5.12.9
  Version (loaded): 5.12.9

OS Information

  Build ABI: x86_64-little_endian-lp64
  Build CPU: x86_64
  CPU: x86_64
  Kernel Type: linux
  Kernel Version: 4.19.0-16-amd64
  Pretty Productname: Debian GNU/Linux 10 (buster)
  Product Type: debian
  Product Version: 10
  Desktop: MATE