This is ridiculous.

There is no such thing as two simultaneous keystrokes. What happened was
simply that the "Bold" action occured milliseconds before the "Underline" action.

Nevertheless, it also works with command-A and command-C and it appears as if
the mac is going through the keys in alphabetical order so that command-(A+C+I)
will select all, copy it then change to italics but if you paste what is copied it will
still be in plain font.

I don't think alphabetizing is what's going on, you are just lucky you hit them in
that order. miliseconds and microseconds matter in this case, so it's hard to judge.
I just did it bunch of times with cmd+c being activated first (producing system's
thunk sound).

If the system were to order the keys alphabetically, it would imply it's using a
buffer for input and that keystrokes are delayed at some higher level (it would be
stupid to do this at low level), which could be impractical in number of situations
(eg. who's to say your app can't disable command modifiers and you have to hold
down command key to type letters - stupid? yes, but plausible)

Agreed. I tried it umpteen times with command-b and -u in TextEdit and got
Underline to fire first 50% or the time. This is not a hint. It's a discovery of
something that is not a feature.