No you are not missing anything, this is correct.
There are some ways around the lack of KeyBinding: Use an EventToCommand to map the Window's KeyDown event to a command, and pass the EventArgs to the command using the EventToCommand.PassEventArgsToCommand property and setting it to true. I show how
to do this for a SL4 drag&drop event here:
This works for KeyDown events too.
For CommandBinding: This is a feature I want to add in a next version. I will think if there is a work around more practical than to define your own event in the Window and calling the Command on the VM directly. Maybe I find a behavior somewhere to do that
(in a temporary manner).