This is working as designed.
Windows key bindings work via virtual key codes, rather than explicitly on characters. This allows the one set of bindings to be used on most keyboard layouts, but can result in some surprises like this. When binding a key to '/', that's translated to the VK_OEM_2 virtual key code, which is '/' on a US keyboard layout, but '#' on a german layout.
It would be nice to localise the displayed binding in the menu though.