It can't detect a keypress that it's not listening for, obviously, but I would assume the dialog can check whether keyboard shortcuts are enabled.
The "Capture Mouse Location" dialog doesn't serve any other function than waiting for a keypress to record the current cursor location, so I figure it could either turn shortcuts on when it's opened and back off when it's closed(ideally only listening for the relevant combination and not executing any commands, especially none bound to those keys), or show a message telling the user it's can't operate with shortcuts off, possibly with a button to manually turn on(keyboard) shortcuts.
I'd just like an alternative to backing out of the "Capture Mouse Location" dialog, the "Add a Mouse Action" window, the "Add a Command"/"Edit a Command" window, and the "Edit a Profile" window, to get back to the main window to turn on the shortcuts, then doing all of that again in reverse to get back to what they were doing in the first place.
EDIT: So, this behavior does not appear to have changed in 1.6, however the changelog notes:
Turning off keyboard shortcuts now only turns off command shortcuts. Global hotkeys (listening, command stop, mouse capture) will remain in effect.
I can't seem to utilize any non-UI shortcuts(When keyboard shortcuts are Off). E.G. Alt-E still opens the "Edit a Profile" window, but user-set key combinations have no effect.