When executed from a button, Set UTILITY=Toggle does indeed toggle the current state of the Utility pane. However, when executed from a hotkey, it brings up the pane if it is initially OFF, but does nothing if the pane is initially ON. Bug?
WOW man! That a whole nother level of service here on our favorite forum... answering a question ONE MINUTE before the poster asks the question. YOU ROCK DUDE!!!
I can repro what you're seeing - but setting it global like Steve suggested definitely gets it to work for me... even if there is another app window in focus when I use the hotkey.
FWIW - it seems to me to be a bug. It looks like input focus is switched to the utility panel when you toggle it on (which I rather expect is desired behavior)... but from there, it looks like non system-wide hotkeys do not function while the utility panel has focus... If you click into empty lister white space or select a file, the hotkey works again. I'll report when I get home.