No, I'm not using remote desktop. The hotkeys just disappear by themselves.
At first I saw that the keys disappear when UAC prompt pops-up. Then I turned off the UAC prompts. The hotkeys stopped disappearing for a little while, but the problem reappears.
Now it's even worse. If I install things, or if my machine recovers from sleep, the hotkey settings disappear.
Called Microsoft Support, and it has not been useful. The technician keeps playing with my machine remotely trying to find workarounds, for several days. None of the workaround works. Then he records the sequence showing the message, and send the recording to himself by email using my hotmail account. The email he sent to himself gets bounced-back, and I'm back to square one.