Cannot set a specific key combination as shortcut

I want to use the built-in settings application to create a new custom keyboard shortcut and map it to the key combination SHIFT+CTRL+ALT+Z. However, when I get to the dialog that asks me to input the desired combination, pressing SHIFT+CTRL+ALT+Z has no effect.

Other key combinations, such as SHIFT+CTRL+ALT+D, work as intended, the shortcut is created and executes my custom command when the key combination is pressed.

I checked in the shortcut list, and no other shortcut uses SHIFT+CTRL+ALT+Z (but one shortcut uses CTRL+ALT+Z).

The key combination SHIFT+CTRL+ALT+Z appears to do nothing.

What am I doing wrong?

Thank you for your time!