Interesting, this is reproducible in any version under any OS but it is
more noticeable under Windows. In the step 6 you mentioned, IDLE is busy
printing warnings that you will never see if you don't run IDLE from a
terminal. Also, when you tried restarting IDLE I believe it were
actually starting up but wasting a lot of time with this non-existing
key binding.

The problem is that when you ask to delete a custom key set, given the
steps pointed out, IDLE will first remove the custom key bindings and
then will try to remove the bindings associated with the just removed
key bindings which will generate a lot of warnings since they no longer
exist.
A simple solution is to invert some steps when "Apply" is pressed so the
bindings are removed while they still exist in the config-keys.cfg file.
But if you have a config-keys.cfg like you described below and start
IDLE, it will still take a long time to load (at least it does in a
virtual machine here).