The Show keywords HUD shortcut doesn’t work, neither in normal nor in full screen view.
What is most likely the case in these scenarios is another application or system service capturing the keystroke before it gets to Scrivener. Take a look in your Services menu, and examine all background third-party tools or “capturing” applications like Yojimbo that have a universal hot-key.
As Amber says, the keyboard shortcut definitely does work (assuming there is not some other bug at work - if you can open the keywords HUD in other ways, then it’s not a bug), but there may be something on your system stopping it. (Keyboard shortcuts aren’t even coded in but selected in an Apple interface design tool, so there is no code involved on my side.) Application keyboard shortcuts take precedence over those of Services, so it is unlikely to be a Service causing the problem - it must be something else installed on your system.