Hello ,
Good to see you in Microsoft Community.
I tried to reproduce your problem in different apps: in apps like Microsoft Edge browser, put the app in full screen, and then open the shortcut shortcut on the desktop with the shortcut key that has been customized, and there is no response, but after exiting full-screen mode, the shortcut can respond normally and open the app.
This is by design, that‘s how the feature works, because fullscreen is designed to focus on the current work without other distractions, including disabling custom shortcuts.
If you still want the features you descripted, you may submit your issues through the Feedback Hub (launched by Win + F) built-in windows, and the development team will review the submitted feedback regularly.
And you can share the feedback link here or to your friends and family members, more votes will make the development team notice more quickly.
If anything is unclear, please do not hesitate to let me know.
Best Regards,
Mosken_L - MSFT | Microsoft Community Support Specialist