Ok, this is entirely a product of my own logic, so it may not be the real reason...
The way I see it, the reason you can't bind the OnRelease with commands like Jump, Fire, AltFire is that these commands require that you press that button and HOLD it.
OnRelease only sends one signal (which is such a small time interval that the game doesn't register it as holding the key down).
The way to do it would probably be with a combination of OnRelease and Toggle commands (of course, you'd have to toggle it back somehow afterwards, with another key or a wait command, but I'm not sure UT has wait commands; if anyone knows of a wait command, let me know).