The test seems to indicate that the problem is with my keyboard.
When "A", "left," and "up" are down simultaneously, it shows that 3 keys are down.
But when "A", "right," and "up" are used, it shows that only 2 keys are down.
It's a simple Dell keyboard that came with the desktop computer.
I've had this problem with trying a basic 8-directional type game as well. It would be nice if there were some guide to know which keyboards/control setups won't work for basic gaming with simultaneously pressed keys.