Oh, I had this problem too!
I tried making a simple Pong game following a tutorial I found.
But a lot of the time if I was holding one button and pressed another the new keypress would seem to register while the previous seemed to stop registering even if I was still holding the key pressed.
I thought that it was perhaps a limitation with the KeyListener feature so I tried rewriting my program to use Keybindings instead.
But if anything it made it all worse.
So I realized the problem was in the tutorial I was following.
The way it handled the logic after listening to the keys.
So if you are experiencing this type of issues I'd recommend you to troubleshoot the code that you are working with!
Also take note that the behaviour of keys apparently can be different depending on your Operative system.
So in Windows when a key is pressed it will repeat like you know it will in a text editor.
So when a key is pressed it will actually call repeatedly and then when you release it it will give you one release event.
So take note of that!
Also worth noting is that different keyboards will have different limitations on how many keys you can push simultaneously and that number will usually also be different depending on exactly the combination of keys that are being pressed.