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Step-by-step: Alt-F2 should bring a new login prompt entirely. I'm assuming you're logging as your normal username from here though. Once you type "su", it shouldn't prompt for a username, just ask for the root password. But, assuming it tells you you've su'd to root, if you type in "whoami" it should come back letting you know whether you're still classed as username or root.
Where are we here? From KDE, Alt+F2 gives me the 'Execute command' window. This is not the way to switch the user.
From command-line, Alt+F2 gives me a new console (tty2) and it is not required to type 'su'. Just username and password.
Then I logged in as normal user and typed 'su' and the root password. And now I am root. Maybe you got confused because it does not change into the /root directory (you are still in the same directory as before, but now as root). Have you tried fouldsy's suggestion (whoami)?
And where does the 'Run' button come from? I guess I need more info here.
What's maybe a bit confusing is that the 'Run command' window gives you an alternative 'Run as different user' which means that you'll run a certain application as root (you won't login to the system as root ). Accordingly, one can use Alt+F2 to launch a konsole as root to access root stuff (or more simply, by using the su command directly). I guess you can also launch a 'root shell'.