I'm not sure whether this is a bug in jEdit or Console, so starting with jEdit.
I have some shortcuts assigned to Console Commando scripts. Just for the sake of illustration, I assigned "CTRL-m a" to run the "ant" script.
When I start jEdit, that shortcut does not work. Other shortcuts work fine (e.g., in my configuration, hitting "CTRL-m s" brings ProjectViewer's search dialog just fine).
If I go into the jEdit Options dialog and just click OK, not changing anything, then the Command shortcut starts working.
I wonder if there's a race during initialization; since Commandos are a dynamic list, I wonder if jEdit is setting up the shortcuts before Console has had a chance to initialize. Or something.