A:  It just doesn't want to happen in the OnKeyDown event of the memo field.  You have to go to the application level for this one.

procedure TForm1.FormCreate(Sender: TObject);
begin
  Application.OnMessage := AppMessage;
end;

procedure TForm1.AppMessage(var Msg: TMsg; var Handled: Boolean);
begin
  if (Msg.hwnd = Memo1.Handle) and
     (Msg.Message = WM_KEYDOWN) and
     (Msg.wParam = VK_RETURN) then { user pressed return key }
  begin
    if GetKeyState(VK_CONTROL) < 0 then  { control key is down }
      caption := 'Cool stuff, dude!';
    Handled := True;
  end;
end;

Note:  If you use GetKeyState(vk_Return) you must check for a value greater than zero.