This is very likely to do with how your keyboard works. Most keyboards don't use separate wires for each button. Instead they generalise buttons to rows and columns. In order to compute which key you are pressing, the keys send a current across both the row and column, and your computer can locate a single key well from that.
However, multiple keys at the same time get a bit tricky. It works well for one key press, and it works equally well for two key presses, but three key presses start to produce some issues. See this diagram:
There, the bottom left key will not be picked up, because the logic has no way of determining the difference between that and only two keys being pressed.
This issue is quite hard to avoid. Most gaming keyboards put keys on separate circuits to avoid this, and most good modern keyboards will use a hybrid method that separates out the arrow keys. It's like that when you changed your controls, you just changed them into another configuration that causes this.
Being aware of this can help you find a configuration that works, or you could buy a new keyboard, just be sure it doesn't have the same issue if you do.