I can replicate what I think you are seeing on the HTC Incredible.
Not all soft keyboards will support the IME action button. Some, like the Graffiti soft "keyboard", may have no buttons at all, let alone an IME action button. Even the Compatibility Definition Document says nothing about requiring such an action button for the keyboards supplied with a device.
Hence, you should not rely on the IME action button. If it is there, users can use it. However, always have some other means of accomplishing whatever your goal is.
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