I've experienced this for quite a while now (at the very least since 2011), but I can't find any information about it, so it makes me think that I'm just doing something wrong.
When I go to Settings -> Editor -> Keyboard Shortcuts (nice icon btw), and add a new shortcut to the Close File entry, it doesn't persist through closing and then reopening CodeBlocks. The default is ctrl+w. It's weird that ctrl+f4 is not the default, and in fact, is not even there (standard shortcut for closing the current file in most windows programs). So, I add ctrl+f4 as an alternate to ctrl+w. It works fine until I close CodeBlocks and then reopen it. At that point, the ctrl+f4 entry has disappeared and I have to reassign it. Since ctrl+f4 is a years-long ingrained habit, I forget about it every single time and find myself pressing it and not having anything happen (requiring me to reassign it).
Am I supposed to hit some kind of save option elsewhere in the IDE or tick some setting somewhere for new keyboard shortcut assignments to stick?