http://bugs.winehq.org/show_bug.cgi?id=30561
--- Comment #8 from Artem S. Tashkinov t.artem@mailcity.com 2012-05-01 04:54:08 CDT --- Strangely Alt+F1 and Alt+F2 work just fine for me.
It seems like your DE or Window Manager has these shortcuts assigned for something else, and if it's the case, I don't think you should blame Wine - fix your keyboards shortcuts at first.
In Windows, I believe, you cannot even assign system level shortcuts to applications, e.g. try to make any application react to Win+R - your app just won't be able to intercept this shortcut unless the app reads events directly from the keyboard driver.
I guess this bug is INVALID/WONTFIX.