What keyboard shortcut is this about (item in File menu) and what Firefox locale do you use ?

locale? It's for Command + Shift + P for Private Browsing.

Don't you see this "Command+Shift+P" shortcut in the File menu ?

If you are in permanent Private Browsing mode (Always use Private Browsing mode; Never Remember History) then you won't see this shortcut (you probably see Command+N instead) because all windows you open are PB mode windows, but the "Command+Shift+P" shortcut should still work.

I'm not in permanent private browsing. It just stopped working with the latest update.

Are you able to open a New Private Window via the file menu (i.e. is only the shortcut not working) ?

Yes I can. Correct, onlly the keyboard shortcut is not working.