No, it's not that.
No shortcut works, regardless of the app.

So pressing Ctrl + F in KWrite or Kate doesn't work?

If so, there may be a distribution specific issue causing this.

Which specific version of KDE and Kubuntu are you using?
Have you installed anything from Backports ( or 3rd party PPA's )?
Also is this a fresh installation or an upgrade installation? ( and if so, from which version )

So pressing Ctrl + F in KWrite or Kate doesn't work?

What I meant was that I can't set any global shortcut, regardless of the action I'm trying to assign a shortcut to and regardless of the app I'm running.

I'm using Ubuntu Lucid (10.04) (a fresh installation) and the latest KDE packages from Kubuntu Team's PPA:
http://ppa.launchpad.net/kubuntu-ppa/ppa/ubuntu lucid main
I installed KDE by running:
sudo apt-get install kubuntu-desktop

and a little something from here:
http://ppa.launchpad.net/kubuntu-ppa/backports/ubuntu lucid main

If you open KMix > Settings > Configure Shortcuts, and set one of the Global Shortcuts as shown in my screenshot, does it work?

Please see http://imagebin.ca/view/qQCzVO3.html

If it doesn't, please file a bug report with your distribution, as this is not KDE specific.