So this is by design – Keyman recognises hotkeys from the left side of the keyboard only, as the right hand modifiers are often used by keyboard layouts to generate characters. (The dialog where you configure the hotkeys is not as smart as this though, and accepts hotkey modifiers from either side, which I agree is confusing).
There is a workaround, but it involves editing the registry and is not really well supported; it should allow you to use hotkey modifiers from either side of the keyboard but may have other side effects that I am not aware of.
Warning: Serious problems might occur if you modify the registry incorrectly by using Registry Editor or by using another method. These problems might require that you reinstall the operating system. We cannot guarantee that these problems can be solved. Modify the registry at your own risk.
HKCU\Software\Keyman\Keyman Engine\Debug, add a Dword value
Flag_UseRegisterHotkey and set the value to
1. Restart Keyman for the changes to take effect.