you can press control I from anywhere within the program, to create an instrument.
The Keyboard override feature enables you to map controls to your keyboard (the computer one).
So for example my Keyboard is missing the numerical Pad. Since some of the transport shortcuts, like jump to left/right locator need the numpad I can't access them.
Keyboard override lets me override some of the shortcuts to fit my personal need. So I use Keyboard override to be able to use all the transport functions, and even more. I have a shortcut for the -20dB dim button for example, or all Solo Off. These are really helpful in many cases.