I used Windows+Tab for Walk Through Windows for quite some time (KDE 3.4.1 until now) and I never had any problems. Recently I changed to KDE 3.5.2 and Xorg 7 and now Windows+Tab only cycles between two windows. After setting it to the default Alt+Tab it works correctly. In addition, Windows+Shift+Tab for Reverse works well too.
The bug is connected to kcontrol > Desktop > Window Behaviour > Show window list while switching windows If it is deactivated there is no problem.
https://bugs.kde.org/show_bug.cgi?id=125246 suffices to track the problem.
*** Bug 139200 has been marked as a duplicate of this bug. ***