I just wanted to note that it works not only with the WINDOWS key but also with CTRL, ALT, ALTGR and SHIFT. I like this better because it does not open the start menu.
For me it ended up being Microsoft Teams. With Teams opened after making or receiving a call, the play/pause and stop keys stop working, but last/next track still does. As soon as I close Teams, it's fine again, and stays fine until I reopen teams and make/get another call. Even after a test call, the media keys no longer work.