May be it is just a glitch/bug which appears only on my system (Windows 10 Enterprise 21H2). But sometimes this is a big pain in my butt.
TeamViewer, for example, works more stable on my laptop, if we are talking about hotkeys interception.
Yeah, sometimes AnyDesk sucks too. For Windows machines I usually use SO Viewer ( https://so-viewer.com/ ), it's more comfortable because AnyDesk unable to intercept Windows hotkeys like "Alt+Tab" etc. Also, it has good speed and FPS rate if you use it through good network.