Some of them are out the box like copy paste, tab and setting focus. For others you need a widget from the marketplace like keyboard shortcut

ALT-Down is a challenge actually.

Adapted answer:

• I can exit without saving every data maintenance screen by using the ESC key  - Use a widget for that that calls a microflow to close and cancel
• I can exit with saving every data maintenance screen by using well-known keyboard shortcuts (e.g. ENTER and/or Ctrl+q) Use Ctrl-q and use a widget
• I can save within every data maintenance screen by using a well-known keyboard shortcut (e.g. Ctrl+s) Use Ctrl-s and use a widget to call a microflow
• In every data entry screen I can use tab and shift-tab to navigate the data entry fields in order - Default Mendix behavior
• In every data entry screen I can use CTRL+PGUP / CTRL+PGDN and CTRL+TAB / CTRL+SHIFT+TAB to switch between tabs in order - Use tabpageselector widget
• In every data screen the focus is either on the first selection field or the first data entry field - Default mendix behavior
• In every data entry screen, all fields are usable with the keyboard - Default Mendix
• In every data entry screen all dropdowns can be opened and closed with keyboard shortcuts (e.g. with ALT+DOWN) - Searchable selector has arrow and enter support
• In every data entry screen all dropdowns can be navigated by entering the first letters of the entry to be selected (as well before opening the dropdown, as well as after opening the dropdown)  - See previous + default Mendix
• Everywhere within the application Copy/Paste is possible via the usual shortcuts (e.g. CTRL+X/CTRL+C/CTRL+V) - Default Mendix