@Gal Ben-Chanoch - This is the intended behavouir as Shift + drag is the multi-select shortcut, so pressing Shift exists any object mode the user is in (Shape, Text, etc.) and is now listening for a click-and-drag.
I can see, though, there may be room for Miro to improve the experience, e.g., switch you back to Pen mode when you let go of Shift.
If you agree, I’d recommend adding this as an Idea in the Wish List category by following the guidelines here: Wish List: Everything You Need to Know.
If you do create a Wish List Idea post, I would also recommend that you post a link to it back here, so that future readers of this post can quickly get to and vote for your Idea.
Lastly, don't forget to vote for your own Idea.
Thank you @Robert Johnson yet again! I have created a wish list idea here:
Return to Previous Function after "Shift" | Miro
Hopefully they can implement it!