Alright, this looks like an OS-level thing (maybe Windows only?). If Num-Lock is ON, Shift works well with the numpad. Else, the Shift key is dropped. This seems to be a widely known issue in the world of key mapping and macros :P
The only solution I can think of is making the numpad *always* reorient, regardless of Shift being pressed. But I'll have to think about that.