Hi Roel
I've just tried the hid_keyboard_demo myself with a Windows 8 system and my Mac. The keyboard demo doesn't work with them either - looks like there's something missing.
It does work with my iPhone, though.
I think I've considered trying with my mac before but then my Bluetooth keyboard was typing in the mac terminal window, where the hid keyboard demo was running which would have sent keystrokes to the mac, which would have resulted in a nice infinite recursion. Well, it doesn't at the moment.
I'll try give a closer look soon - e.g. running the official Bluetooth tests against it, that should uncover some details.
Best
Matthias