Hi,
The bug is quite trivial. When you start xfce4-keyboard-settings > Application Shortcuts > Add, there comes a popup window (see the attachment), where you are asked to specify the command. The line above (Shortcut: ) looks as if you are expected to specify in this step the key shortcut, that you want to assign to the command, yet you are not given any choice to set it.
I suggest that the 'Shortcut:' is to be removed.

After compliting this step (setting the path to the executable), a new popup window shows (attachment 2 ), where you can are expected to set the key shortcut. Nothing however gives you a hint that you have to do it. It looks more as if it is telling you what you have chosen and asks you if you want to apply it. Maybe some short text, like for example "Press the key combination:" instead of the "Shortcut:" could be a good idea.

Hope that it will be resolved soon.
Thanks!