I can confirm that I have the same behavior of the window switcher (which indeed is great!) for applications that are assigned to all desktops (Finder in my case).
Also, the shortcuts do not appear when selecting BTT's configuration window in the window switcher (but maybe is it intended?).
If I try to use the “Show Window Switcher for Active App” control in BTT, when focused on a window from an app that is assigned to “All Desktops”, it does not show any windows belonging to that app. Furthermore, the app window actually loses focus - though the menu bar options for the app remain.
I haven’t tested this with Chrome apps.
(M4 MacBook Pro 14”, Late 2024 / Sequoia 15.7 / BTT 5.750)