The explanation text below the shortcuts toggle in Settings / General states
Enables keyboard shortcuts on the website. A list of shortcuts can be found in the help menu on the bottom left of the screen when searching.
A direct link, or at least a hint to press ?
to show the overlay would be more helpful.
In addition, the search function on help.kagi.com currently does not find the relevant section; it only returns documents about keyboard shortcuts for the Orion browser - twice.