Hmm, works fine in Max8, wonder why they broke it in Max 9 ... Tinman is right though, it's pretty easy to write a script to check which subobject mode you're in and perform the correct action for each one.
this discouraged me as well when i was setting up hot keys, is there anyway to get the current sub object state through max script? if so you could set up an if else statement to check the sub obj mode then use the appropriate connect.