As of an unknown moment, I cannot add custom keyboard shortcuts anymore. Isn't there supposed to be an add button somewhere here?
On the screenshot the panel with more choices is completely withdrawn (on the left). Once you pull it out, it makes it possible to select "Application Shortcuts" and then a "+" button appears which provides the sought functionality.
Bottom line: don't lose your panels!
The add button appears if you select the Applications item from the list on the left.
For the rest of the given items, you can't add new shortcuts this way, but change the default ones. To do so, you must, first check the shortcut, enabling it, then you'll be able to double-click the shortcut and, holding down the new keys, change it to a new one.