thank you @Topaz. It works on window mode, but not is full-screen mode. I'll open a case with AWS. It is them who are changing the shortcuts for Windows.
I'm not familiar with AWS but if it behaves like a virtual machine it may be capturing the keyboard focus to trigger its own actions. If that's the case, there's not much you can do other than run it as a window. But if you find out please let me know as I sometimes run virtual machines on full screen mode and get confused when my keyboard "doesn't work"
Great news everyone. Last week I upgraded to Zorin OS 17 Pro (I was on 16.3 Pro), and now without me having to do any reconfiguration, when I do ALT + Left Arrow or Right Arrow, I can switch desktops even when AWS Workspace is in full screen mode.