Typically on OSX remaping of keyboard shortcuts works well.
In "Microsoft Remote Desktop (MSRD)" it works well too but previous keystrokes still exist:
OSX > System Preferences > Keyboard > App Shortcuts > Add Application: "Microsoft Remote Desktop" Menu Title: "Close Connection" Keyboard Shortcut: "Alt+Shift+W"
I can close with Alt+Shift+W and also with the default Cmd+W.
This is not OSX default behaviour so I think it is BUG.
Does anybody have a solution?