I'd already scoured Add/Remove programs for the Hotkey Utility and not found it.
A search finds the executable in this directory:
C:\Program Files\Lenovo\System Update\session\81vu22ww
Seems odd that it didn't install and I wasn't prompted to install it. It's just nestled in that directory with a host of files and a handful of subdirectories.

I'll read your post again carefully and go about installing it (I presume it isn't installed, but I'm not sure). I do already have Power Manager installed. Currently, if I issue Fn + F3 I get an applet labled Power Use with a slider, one the left side is high performance, on the right side is highly energy savings. Mine is near the left side, currently.
I'm not seeing instructions in the \81vu22ww directory, but there is an install log and this is what it contains:
- - - -
[2010-11-23 18:33:32] On Screen Display
[2010-11-23 18:33:32] SUCCESS : '5.12.00'->'6.10.01'
[2010-11-23 18:33:34] ThinkPad FullScreen Magnifier
[2010-11-23 18:33:34] SUCCESS : '2.02'->'2.15'
[2010-11-23 18:33:35] Lenovo System Interface Driver
[2010-11-23 18:33:35] SUCCESS : 'Not Installed'->'1.02'
[2010-11-23 18:33:35] Lenovo Auto Scroll Utility
[2010-11-23 18:33:35] SUCCESS : 'Not Installed'->'1.00'
- - - -
I'm not at all clear, have no idea if the Hotkey Utility has been installed yet. I could double click the Setup.exe in that directory, but will hold off for now.
"If a star were a grain of salt, you could fit all the stars visible to the naked eye on a teaspoon, but all the stars in the universe would fill a ball eight miles wide." - A Briefer History of Time, Stephen Hawking & Leonard Mlodinow
Dec. 2010: Now thought to be over 11 miles wide!