Alt-Enter on a Windows box expands a DOS program to full screen, and vice versa (IIRC). On OS/2, Alt-Home does the same thing. But it doesn't work with OS/2 console programs because of the way screen writes are done in native OS/2 text programs.
Years ago I wanted to tie a DOS program which did full-screen graphics into Kai Uwe Rommel's (IIRC) OS2EXEC so that I could run it in a window when it was doing text-mode stuff, then have the program send Alt-Home to the keyboard and OS/2 so it would automatically be expanded to full-screen. There didn't seem to be any way to do get it to work - the hooks were too low level. :-(
I wasn't able to find anything in Warp 3 Connect which disabled Alt-Enter. Are you sure you don't have some 3rd-party hook installed? Something in Object Desktop or something?
I think Pete Norloff has a list of keyboard shortcuts on his [link|http://www.os2bbs.com|OS/2 BBS] (you can download stuff without being a member), but I don't know if it talks about how to disable them. If it's possible, it's probably there.