This is a PITA. It would great for it to be fixed.
Chris
http://en.wikipedia.org/wiki/AltGr_key
it is recommended that Ctrl+Alt not be used as a modifier in Windows keyboard shortcuts as, depending on the keyboard layout and configuration, someone trying to type a special character with Ctrl+Alt may accidentally trigger the shortcut
** Note: not as a Hotkey:

Tracked at http://www.ventismedia.com/mantis/view.php?id=6011 and since ALTGR+E seems a distinct failure case, at http://www.ventismedia.com/mantis/view.php?id=6012