Can you try to add a shortcut in System Preferences > Keyboard > Shortcuts > App Shortcuts. That should be visible in the menu immediately. Restart Glyphs and change the same shortcut. Then restart System Preferences and check if the new shortcut is shown there, too.
Hmmm no luck :^/ It’s not the end of the world but having a shortcut for RMX Tuner is kinda baked into my muscle memory now. Having to click through the menu is somewhat disruptive. BTW it also doesn’t show the filter when using CMD+R after previously using it. Works fine with other filters.