Run this sample test : 


import javafx.application.Application;
import javafx.event.ActionEvent;
import javafx.event.EventHandler;
import javafx.scene.Scene;
import javafx.scene.control.MenuButton;
import javafx.scene.control.MenuItem;
import javafx.scene.input.KeyCode;
import javafx.scene.input.KeyCodeCombination;
import javafx.scene.input.KeyCombination;
import javafx.stage.Stage;

public class TestshortcutZ extends Application{

    
    public static void main(String[] args) {
        launch(args);
    }
    
    @Override
    public void start(Stage primaryStage) throws Exception {
        MenuButton button = new MenuButton("test");
        MenuItem item = new MenuItem("test");
        item.setOnAction(new EventHandler<ActionEvent>() {

            @Override
            public void handle(ActionEvent event) {
                System.out.println("TRIGGERED");
            }
        });
        item.setAccelerator(new KeyCodeCombination(KeyCode.Z, KeyCombination.SHORTCUT_DOWN));
        
        button.getItems().add(item);
        
        Scene scene = new Scene(button);
        primaryStage.setScene(scene);
        primaryStage.setMinHeight(300);
        primaryStage.setMinWidth(100);
        primaryStage.show();
    }
}


Try to to CMD + Z with a Mac, nothing happened. If you do it with Windows, the command will become "CTRL+Z" and it is working.

I have tested it with 8u20, I don't have the 8u40 right now on my Mac so I need a confirmation for that version.