I tried this in the latest release of MACH4, version 4.2.0.2703 and you can do as you suggest go into Configure Keyboard Plugin and assign the arrow keys and page up and page down keys for the jogging of axis movement. Then exit and close MACH4, so you can restart. But, when you come back in it never saves the assignments, they are always gone. I do see the keyboard icon at the task bar at the bottom and you can click it and the X turns red when the keyboard is disabled but regardless the keyboard can't be used for jogging. The diagnostic screen for keyboard shows no assignments as well. I thought maybe the Pokeys plugin was causing this issue and I disabled that plugin which is also having various problems.
Does this still work for you in the latest release? Very Strange the basic included keyboard plugin does not work correctly? Also they still do not have the enable keyboard button enabled on the jog tab, that does nothing.
Thanks
Russ