joe,
I too noticed when I was setting up my initial hotkey on the fresh SW04 install that I couldn't find various shortcuts. What I found was that you will get different commands listed in each of the categories depending on what type of document is active when you clicked tools>customize (part, assembly, drawing). A lot of the commands will cross over from document type to document type and you will see them regardless of the document type that is active. But some do not and will appear missing. Yes, that's right, you have to go through this list of categories and commands 3 times with each document type active in order to see ALL of the shortcuts available. I may be wrong, but I don't remember previous versions being like this.
In your case of not being able to find the "check sketch for feature" shortcut, make sure that a part file is open when you look for this command. That is the only document type that this command would be used in. So that is the document type that must be active in order to see it in the list.
I do wish SW would make setting your shortcut a little easier. I can't think of a reason why they can't make something as simple as a text file or an editable .ini file. Heck, you could even print your shortcut list then.
Hope this helps.