For documentation purposes I'll answer my own question. Not sure if I'm supposed to.
I had to resort to the source code to find this out.
QgsMapToolEmitPoint inherits from QgsMapTool. All it really adds, is a two line function creating a canvasClicked event that returns an xy-point. That AND overriding the Flags method so that it returns the QgsMapTool.AllowZoomRect flag. This basically tells QGis to attach a sort of secondary zoom function to the tool:
Allow zooming by rectangle (by holding shift and dragging) while the tool is active.
This interferes with the capturing of Shift-Click events.
I was using QgsMapToolEmitPoint because the sample in the QGis Cookbook does this, even though the added functionality of this class is never used in the example.
So, to cut a long story short: Use QgsMapTool for your map tools (adding the canvasCicked event yourself if you really need it).