GladeVCP and key behavior

Deciding what UI element captures the keyboard events is a bit of a headache. What you seem to be seeing is the GkadeVCP panel getting the key-down event but not seeing the key-up.
I don't know any fixes, but a workaround is to only use incremental rather than continuous jogs.

Is there any indication that the GladeVCP window is losing focus when the problem occurs? Does clicking the mouse back on the GladeVCP window before releasing the key circumvent the problem? (I am suggesting this as a diagnostic, not a practical solution)

My own opinion is that keyboard jogging is inherently dangerous and should be discouraged. This is for the sorts of reasons that you are seeing (and even when working properly UI latency can come into play).
If there is any way to add jogwheels or a jog pendant (maybe even a cheap USB game controller) then your experience is likely to be more satisfactory.