If you specify this event and it is enabled, Hollywood will always jump to this label when it gets an ONKEYDOWN event. If you want to know, which keydown caused the label jump, just call GetEventCode(). It will return which keydown caused the event.
This event is very useful if you have e.g. 100 or more keydown's and every keydown just does a Gosub() to a sub-routine which receives an id which key was pressed. Instead of defining 100 labels now, you can just use ONKEYDOWNALL together with GetEventCode().