Well, it seems to get more complicated.
Under windows 7, things seem to work just fine and I can light up all LEDs at once. The problem only occurs under windows 8. What is your OS.
Digging deeper (under windows 7), it seems that the number of possible simultanous down keys is random and between 3 and 6, depending on the keys.
For example, we can hold down in sequence a+s+d+f+g+j, but not a+s+d+f+g+h (the "h" is no longer recognized).