The only custom hot-key I use regularly is for End Turn. I prefer Shift+Enter to End Turn instead of the default Ctrl+Space because I think I've mixed it up with Space (to end unit's moves) before. (I know there's an undo... whatever the reason, I should be able to specify a different hot-key.)
With the version change from 1.12/1.13 to 1.14/1.15, preferences got moved around, etc. I tried to recreate my custom hot-key but I'm not able to any more - I know this was working fine in 1.13.
Updating the preference file manually (with Wesnoth not running) seems to be okay. Tested in 1.14.0 on Windows and Linux.
Heh, 3000th issue...
Reproduced in current master.
I'm not sure if things have worsened since I last looked at this, but even testing single letters seems to be inconsistent. For example, if I try to add o as a hot-key assignment it correctly warns me that it's currently in use. If I try to add y, however, it gives me no warning and happily adds the assignment even though it's already assigned to 'Execute Action'.
1.14.9 release.
In master:

Here I tried to add y as the hotkey to Execute all actions. Note that both Execute action and Execute all actions are bindings for game mode. If you had tried to bind y to an editor-mode command (mode E rather than G), no warnings would be correct behavior.
edit: Fixed screenshot
Yes, I did consider the different domains, but maybe I missed the destination domain. Hopefully that should be okay then.
The issue about special keys like Enter is still outstanding, though.
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Heh, 3000th issue...