FULL PRODUCT VERSION :
java version "1.6.0_12"
Java(TM) SE Runtime Environment (build 1.6.0_12-b04)
Java HotSpot(TM) Client VM (build 11.2-b01, mixed mode, sharing)

A DESCRIPTION OF THE PROBLEM :
The Action.SELECTED_KEY property is toggled between false <-> true when not null, when the action is assigned to toggle buttons / menu items.
When pressing the accelerator for the action, I would expect this to happen as well.
Possible fix is to toggled the property in SwingUtilities.notifyAction().

STEPS TO FOLLOW TO REPRODUCE THE PROBLEM :
-Run attached test case
-Press CTRL-Z to try to toggle the selected state of the action

EXPECTED VERSUS ACTUAL BEHAVIOR :
EXPECTED -
Action.SELECTED_KEY property toggled between false <-> true when not null
ACTUAL -
Action.SELECTED_KEY property is not changed

REPRODUCIBILITY :
This bug can be reproduced always.

---------- BEGIN SOURCE ----------
import java.awt.BorderLayout;
import java.awt.Dimension;
import java.awt.EventQueue;
import java.awt.event.ActionEvent;
import java.awt.event.KeyEvent;
import java.beans.PropertyChangeEvent;
import java.beans.PropertyChangeListener;

import javax.swing.*;

public class TestSelectedKey {
    public static void main(String[] args) {
        EventQueue.invokeLater(new Runnable() {
            public void run() {
                createGUI();
            }
        });
    }

    private static void createGUI() {
        final JLabel label = new JLabel("Toggle me actions 0");
        final JLabel selected = new JLabel("Toggle me selected: false");
        AbstractAction action = new AbstractAction("Toggle me") {
            private int count = 0;
            @Override
            public void actionPerformed(ActionEvent e) {
                label.setText("Toggle me actions " + (++count));
            }
        };
        action.addPropertyChangeListener(new PropertyChangeListener() {
            public void propertyChange(PropertyChangeEvent evt) {
                if(Action.SELECTED_KEY.equals(evt.getPropertyName())) {
                    selected.setText("Toggle me selected: " + evt.getNewValue());
                }
            }
        });
        action.putValue(Action.ACCELERATOR_KEY, KeyStroke.getKeyStroke(KeyEvent.VK_Z, KeyEvent.CTRL_DOWN_MASK));
        // need to set manually or won't be updated by Swing
        action.putValue(Action.SELECTED_KEY, Boolean.FALSE);

        Box labels = new Box(BoxLayout.PAGE_AXIS);
        labels.add(label);
        labels.add(selected);

        JToolBar toolBar = new JToolBar();
        toolBar.add(new JToggleButton(action));

        JPopupMenu popupMenu = new JPopupMenu();
        popupMenu.add(new JCheckBoxMenuItem(action));
        labels.setComponentPopupMenu(popupMenu);

        JFrame frame = new JFrame("Test Action.SELECTED_KEY");
        frame.getContentPane().add(toolBar, BorderLayout.PAGE_START);
        frame.getContentPane().add(labels, BorderLayout.CENTER);

        InputMap inputMap = frame.getRootPane().getInputMap(JComponent.WHEN_ANCESTOR_OF_FOCUSED_COMPONENT);
        ActionMap actionMap = frame.getRootPane().getActionMap();
        inputMap.put((KeyStroke) action.getValue(Action.ACCELERATOR_KEY), "toggleAction");
        actionMap.put("toggleAction", action);

        // workaround
        inputMap.put(KeyStroke.getKeyStroke(KeyEvent.VK_X, KeyEvent.CTRL_DOWN_MASK), "toggleActionWorkAround");
        actionMap.put("toggleActionWorkAround", new ToggleAction(action));

        frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        frame.setPreferredSize(new Dimension(400, 200));
        frame.pack();
        frame.setLocationRelativeTo(null);
        frame.setVisible(true);
    }

    private static class ToggleAction implements Action {
        private final Action delegate;

        public ToggleAction(Action delegate) {
            this.delegate = delegate;
            assert delegate != null && delegate.getValue(SELECTED_KEY) != null;
        }

        public void actionPerformed(ActionEvent e) {
            boolean selected = (Boolean) delegate.getValue(SELECTED_KEY);
            delegate.putValue(SELECTED_KEY, !selected);
            delegate.actionPerformed(e);
        }

        public void addPropertyChangeListener(
                PropertyChangeListener listener) {
            delegate.addPropertyChangeListener(listener);
        }

        public void putValue(String key, Object newValue) {
            delegate.putValue(key, newValue);
        }

        public Object getValue(String key) {
            return delegate.getValue(key);
        }

        public boolean isEnabled() {
            return delegate.isEnabled();
        }

        public void removePropertyChangeListener(PropertyChangeListener listener) {
            delegate.removePropertyChangeListener(listener);
        }

        public void setEnabled(boolean b) {
            delegate.setEnabled(b);
        }
    }
}
---------- END SOURCE ----------

CUSTOMER SUBMITTED WORKAROUND :
Pass a delegating Action which toggles SELECTED_KEY in the actionPerformed() to the ActionMap. See test case, pressing CTRL-X will toggle the property correctly.