If I use Safari in full-screen mode, I can’t open a new window via keyboard shortcut unless I simply toggle the “File” menu. Bug or feature?
This is a known issue at Apple and after nearly 2 years — and two major macOS updates — it still has not been addressed.
For anyone still frustrated by this seemingly basic issue, it still exists in Safari 14.0.1 running on macOS Bug Sur 11.0.1 (20B29). That means this issue has survived two full major macOS releases and two major Safari updates.
Additionally, I reported this issue on Apple’s official feedback (bug tracking) system on Mar 20, 2019 and it was closed it on Mar 25, 2019 as follows:

Apple
Mar 25, 2019 at 11:21 AM
Engineering has determined that your bug report is a duplicate of another issue and will be closed.
The open or closed status of the original report your bug was duplicated to appears in a text box within the bug detail section of the bug reporter user interface. For security and privacy reasons, we don't provide access to the original bug yours was duped to.
If you have any questions or concerns, please update your report directly at this link: https://bugreport.apple.com/.

I find it fairly stunning that two years later this issue still exists.