This dialog box lets you know you can use keys to select options:

This one does not--but it does accept a tap of the 'N' key for No. Much quicker.

It is ponderous to include this clue for some boxes but not all. Does it vary based on how it is accessed? I noticed that I don't get the underlines if I r click -> delete instead of Fn + Delete. I don't like that. This is also different from R click menus, which always show the key accelerator whether opened by R click or context menu key. Given the inconsistency of these things across the application, it would be useful for them to be on, for all boxes, all the time, by default, everywhere. This would go a long way in discoverability of keyboard operators, accessibility, efficiency, and ease of use.