As some people might have discovered, Keyboard Shortcuts does not see the Super (Windows) key as a modifier. This means you cannot set shortcuts such as Super+H or Shift+Super+H as it will only catch it as Super. The fix to this small problem is really easy.
Go to Preferences>Keyboard>Layouts>Layout options>Alt/Win key behavior and select Meta is mapped to win keys.
Voilà! You can now use the Super key in key combinations. I personally use it as a light version of Gnome Do to launch Firefox (Super+F), show the desktop (Super+D), lock the screen (Super+L) and other easily remembered system-wide shortcuts.
Note: All the shortcuts using the Alt key will have to be retyped as it is now named Mod5. This means you will have to refresh these shortcuts in order to have them to work.
Thanks to yabbadabbadont from Ubuntu Forums for the tip.