Hassle, it should work -- it works for me -- so let's check a few things and see if we can't make it work for you. You need a shortcut for "Select Connected". It's very handy.
I use the slash [/] key, btw.
Check these:
If you are trying to use a shortcut that is also assigned somewhere else in the file, the first time the shortcut appears in the file will the only assignment that works. Change that.
If that's not the prob, maybe it's this: you can only use the CTRL key, I think, in the Windows version, and only the CMD key, in the Mac version. No CMD-SHIFT-A, for example.
Make sure the file is named properly. I had to name mine:
