Well, it does not work like that on my machine. If I enable “grab keyboard” and go the remote desktop and work with one of the applications there, any press on Cmd+W will promptly kill the client window. As said, it worked with the version 3 client.
I am unaware of anything that I have done (or even how I should have been able to do such a thing) that would override the keyboard grabbing of the client window.
So you are saying that if keyboard grab is on, for you Cmd+W goes to the remote desktop?