Default Folder X does not behave like “normal” apps: It does not become “frontmost” even if you’re in its prefs window (where you define the shortcuts).
So my guess is that you brought up Default Folder’s prefs window while Path Finder still was the frontmost app.
Based on my guess, try this:
Remove focus from Path Finder, either by
quitting it or
switching to another app, for example Finder, TextEdit, etc.
Bring up Default Folder’s prefs window and try again to define the shortcut.
In other words: A look at the menu bar tells you which app is frontmost; make sure it is not Path Finder while you are defining the shortcut in Default Folder.