So I have now upgraded to a madVR capable GPU on my HTPC, and I'm playing with madVR settings to see what I can achieve. This problem showed its head again.
I can get Ctrl-J to work by doing all of the following:
1. Uncheck the "use only if media player has keyboard focus" box in the madVR User Interface>Keyboard shortcuts.
2. When a video is playing, and you want to see the madVR "Debug OSD", open the madVR settings window (Right-click > DirectShow Filters > madVR). Highlight a menu heading if necessary. See Note 1 below.
3. Now press Ctrl-J.
4. If desired, close the madVR settings. It will have to be opened again to use Ctrl-J to close the "Debug OSD".
Note 1. I saw a couple of cases where Ctrl-J wouldn't work when an editable field was highlighted in the madVR settings. If it happens, just click on a menu heading in the madVR settings. Make sure the madVR setting dialogue is in focus.
Note 2. Also, I am using madVR in Windowed mode. i.e. Automatic Full Screen Exclusive Mode isn't selected.
The above solution still allows the MC Ctrl-J "Check for updates" keyboard shortcut to work. I guess requiring the madVR settings to be open before this works could have been by design, so as not to interfere with the MC function. There has been quite some discussion about that issue.