I want to change Key short cut to
LockScreen but it is not working. If I try any other combination like
CTRL+ALT+G , it works.
Win+L combination used to work in 11.10.
Yes, it's very annoying, and hard to remember the exact fix. So hopefully this will help you, and also be an easy way for me to look this up next time I do a fresh Ubuntu install.
There is duplication & conflict between the Gnome Keyboard Shortcut settings (as depicted in your screen shot) and the same settings in the new Unity desktop. Ubuntu (well, Gnome) provides a UI for editing the Gnome Keyboard Shortcut settings but as you've learned, they don't work if they conflict with Unity. And there is no UI installed by default for managing Unity.
Note that to get 'Super-X' style shortcuts to work, you will have to change the 'key to show the launcher' setting, which means that the Super/Windows key will no longer open the launcher. If that's OK with you, continue...
Here is what I do:
Note that CCSM also provides its own facility for setting keyboard shortcuts. For things not included in the gnome-control-center, you may have more luck defining custom shortcuts in CCSM. If you select
...and then, you can associate those commands with specific key combinations, like this:
As you can see, I've configured Super-E to launch the Gnome text editor, and Super-C to launch the calculator. I find both of these very handy.
This is a confirmed bug #951805 in Ubuntu since 12.04 beta 1 stage. Unfortunately no solution is available as of yet, but everyone being affected by this bug can sign in to Launchpad and subscribe to the bug report for future updates.