I messed with this once. I thought it was unusual that you couldn't assign a specific midi device. Unless you assign a controller to be used along with the midi note, any time you hit one of the assigned notes on any midi input you'll be activating the key binding.
I have an old Akai MPD-16 hanging around that has 4 rows of 4 pads. It would be cool to leave that sitting on my desk set up for keyboard shortcuts only.
It does work in X2. It seems to require that a shift option be assigned and used along with the key bound note.