Can't bind cmd+\ to "Move focus to next window", but I can bind it to other actions... why?
For what it is worth, I am able to bind ⌘+\ to Move Focus to Active or Next Window in Mavericks, and it works fine for switching between Finder windows. 



(It doesn't help your situation except to indicate that this might be a bug...)

If you are trying to use it in another application besides the Finder, does the standard ⌘+` work?

I have the Full Keyboard Access option below that set to text boxes only:



EDIT: Reassigning ⌘+\ to "Move focus to next window" also works fine for me.

You are probably onto something with the backslash causing the problem, since defaults write -globalDomain NSUserKeyEquivalents -dict-add "Move focus to next window" '@\' gives an error Could not parse: "@\".  Try single-quoting it. and trying to escape it with a backslash results in a strange dictionary assignment: 

$ defaults read -globalDomain NSUserKeyEquivalents
{
    "Move focus to next window" = "@\\\\";
}