I start with a new Delphi VCL application, add Menus to the uses clause, drop a label on the form, and assign the form's OnShortCut event:
procedure TForm1.FormShortCut(var Msg: TWMKey; var Handled: Boolean);
begin
Label1.Caption := ShortCutToText(ShortCut(Msg.CharCode, KeyDataToShiftState(Msg.KeyData)));
end;
On XP, this works correctly for all shortcut key combinations that I've tried, including Shift+Ctrl+0. On Vista and Windows 7, the test application displays Shift+Ctrl+1 through Shift+Ctrl+9, but not Shift+Ctrl+0. Other combinations like Shift+0, Ctrl+0, and even Shift+Ctrl+Alt+0 are displayed fine.
Running the application under the debugger, I find that the OnShortCut event is never fired with Msg.CharCode = Ord('0') if both the Shift and Ctrl keys are held down while the 0 key is pressed.
The Delphi IDE has the same problem under Vista. Ctrl+Shift+1 sets bookmark 1, but Ctrl+Shift+0 does not set bookmark 0, which it should.
I've tested this with Delphi 2007 and 2010 on virgin installs of Windows Vista and 7 in VMware, so there's no 3rd party software trapping the keys. I haven't tried any other development tools to determine if the problem is with Delphi or with Vista itself.