I have been looking into the problem, and I do think it has something to do with the X-Server, or with the evdev driver. The reason I suspect the evdev driver is because it catches all events and handles them, so the events for the SysRq keys may not be picked up by the kernel due to that and hence, no action. The X-Server may also have a hand in this, but I will need to spend some time to get the kbd and mouse drivers working before I can confirm that suspicion.
Just an FYI, SysRq keys don't work in Fedora 9 as well, which has X 1.5.2 and the evdev driver. Of course, that may be due to the keys being disabled in the kernel config, but compiling a kernel of my own with the keys turned on hasn't helped.