I think you have to put somewhere into your event sheet, on up pressed, on down pressed, etc...
"Browser shortcut keys
In some browsers, some keys are shortcuts for browser actions. For example, space bar sometimes is a shortcut to scroll down the page. If any events exist for 'On key pressed' with a given key, Construct 2 blocks the browser from performing its normal action. For example, if you wish to prevent space bar scrolling down the page, add an empty 'On Space pressed' event, if you don't have one already."