I should be more clear – this behavior is consistent in that it never works like I would think it works. :)
If you want to see an example of this working like I think it should, fast forward to the 21:30 mark of this demo from Merlin Mann. While I can't see the keys he's hitting, it looks like he's able to create a new project with command-return and tab over to context.
http://vimeo.com/19811530