You mean, the colored one that is always pressed on enter key ?

Space will select the currently selected/highlighted button

Return will select the default whether it is selected or not

Escape will select cancel whether selected or not

In addition to what others have said, you should enable Keyboard Navigation in System Settings > Keyboard to control more of the UI by pressing Tab.

Cool, thank you. I've been off Mac for about a decade but I was surprised back then that those kinds of KB controls weren't on by default.

Yeah, it is just an accessibility setting that needs to be turned on.

This is such a weird request; perhaps an OS has deemed this shortcut superfluous?