Yes, I found the problem.
In Lazarus 1.6.4 and above there is also a MultiSelectStyle in which msShiftSelect can be set.
But the default is only [msControlSelect].
Lazarus 1.6.4 didn't do anything with that value but from 1.8 onward it is used.
So you can set [msControlSelect, msShiftSelect] and it works as expected again.
But Lazarus IDE doesn't set that (and is [msControlSelect] as default.
I'll create a bug-entry for the IDE.
(Note that selecting is different too now. Now with msShiftSelect items from multiple levels can be selected. In 1.6.4 this was not possible.)