I'm not sure whether this error is due to Ubuntu, the session manager, or Code::Blocks. Right now, I'm fairly certain that it has nothing to do really with CB, but rather with the system/session manager 'stealing' the key combo from CB (why they work on other applications is unkown to me).
After reassigning the keys in Windows Manager (under xfce), all of the Ctrl-F# combos are working except for Ctrl-F9 (the one I'd really like to have). The only session-wide keyboard shortcut settings I have looked at is Keyboard Settings, Window Manager Settings, and SCIM Input Method Setup (briefly).
What I'm doing:
Xubuntu 6.10 (I haven't tested it on Ubuntu w/gnome, because the editor [something to do with Scintilla] was way too slow, therefore I didn't go too far into CB then)
Settings > Editor > Keyboard shortcuts, went to Build > Build, tried to enter Ctrl-F9 in the 'New Shortcut' box, but when I press Ctrl first and then F9, all I get is 'Ctrl-', whereas when I press F9 then Ctrl quickly, I get the desired 'Ctrl-F9'. As I said before, Ctrl-F[1-8,10-12] work.