I use KeyDown all the time, because then I can use e.Handled = True and stop the keyevent to move from the text box to the container and down to the eventque if I want. You can also use e.Handled in KeyUp, but then "until late", because the key you entered will be displayed in the text box, and you will have to take it manually if, for example, you want the user to not enter numbers in the text field.
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