When using Internet Explorer,screen reader focus is not confined to the file picker modal. This is not the case in Firefox, where the screen reader focus does remain in the file picker modal regardless of any keyboard shortcuts the screen reader user presses.
This behavior was found in Internet Explorer using both JAWS 15 and NVDA 2014.
A video demonstrating this issue with JAWS can be found here: http://youtu.be/GIpOlm0zgzA
This behavior is the same with other Moodle modals as well, including the "Add Activity or Source" modal and the Quiz start/finish modals.
Steps for Testing:
1. Enable either JAWS or NVDA
2. Using Internet Explorer, Click the Add Activity or Source link
3. With the Add Activity or Source modal open, press the H key.
4. Notice how JAWS/NVDA has moved to a heading outside the modal.