Assigned Shift+Delete to Edit→Cut; it does not work
It's quite annoying that Adobe products doesn't support the Ctrl+Insert, Shift+Delete and Shift+Insert (Copy, Cut and Paste) operations by default. All other software on Windows does support so everybody is used with this.
So I assigned the above shortcuts via Edit→Keyboard Shortcuts...
The Ctrl+Insert and Shift+Insert works, but the Shift+Delete (Cut) doesn't. It seems to me a bug, Shift+Delete being hard-coded and it's taking precedence over the assigned key combination.