I agree. Windows catches several key strokes before they are sent to applications. Ctrl+Alt+Del is one of those; even VMware cannot disallow Windows handling it. (That's what you get when the VMware virtual machine is running in full-screen mode )
It's not the ROM BIOS, it's the keyboard / keyboard port on the motherboard. The BIOS has its own keyboard drivers for handling several keystrokes (like those needed to enter the BIOS). That's why Ctrl+Alt+Del reboots your PC when you're still in the BIOS post screen but it will show a screen in Windows (and reboot in Windows 95/98 if pressed twice). In Linux you can specify what to do when you press Ctrl+Alt+Del.
In short, the operating system (BIOS is also an operating system; that's what the OS stands for) handles keyboard interrupts it receives through the keyboard driver, and decides what to do with them. The only way to catch Ctrl+Alt+Del in Java is intercept the interrupts inside the keyboard driver before Windows / Linux gets them. I don't know if that's even possible, but if it is you will have to use a lot of JNI.