Hello,
It appears the HotKeySet documenation contains an erroneous sentence that does not make any logical sense.
I believe the gist of what this is attempting to convey is: "It is better to use Lower-Case keys/characters to avoid errors in keyboard layout. IE: On some keyboards, upper and lower case keys may be mapped differently."
Although, to my knowledge, most people (even in Russia) use a QWERTY-derived keyboard now-a-days, so I'm not quite sure even if the above revised sentence is accurate and not mis-leading.
None-the-less, as-is, this sentence makes no sense at all and probably should be reviewed for a future release.
Thanks!
EDIT: I should note that I discovered this in version 3.3.8.1 and it appears to still be present in the latest beta version 3.3.9.22
EDIT 2: I just discovered the bug tracker. I filed this as Bug #2546