In the case of a missing RWin key there is a need for a substitute, preferably whatever is next to the AltGr key, hence my remapping the menu key also. Perhaps there might be some unusual keyboards for which this approach wouldn't work well though. And to be viable for people who use AltGr a lot, it does rely on the wide mod also.

AutoHotkey does partially work - you can do assignments of the form "RWin & key::" but the problem is this doesn't override the OS's own hotkeys. So for example if you hit RWin and L, it suddenly locks the screen, which doesn't seem to be overridden by AHK...  If there is a way to prevent that it would be good to know as I would rather be able to use one peice of software instead of two if possible!

RWin::RShift does work - but still doesn't prevent the OS detecting certain key combos, which makes it of limited use without also applying the registry hack.

A note if interest on this topic:  I recently got a Raspberry Pi to play around with. On the setup screen it lets you choose which keyboard layout. Colemak was one of the options, but I was also interested to see an option to define which key should act as AltGr.  It was possible to set the right Win key to be AltGr direct from setup!  I was quite surprised to see that.

@DreymaR have you ever tried out your big bag of tricks on a Raspberry Pi ?