I’m also encountering this issue. After a bit of experimenting, this is what I found when using Local Space Coordinates:
If the actor has any rotation on the Up axis, movement (while holding the shift key) on the Left and Forward axes is incorrect.
If the actor has any rotation on the Forward axis, movement (while holding the shift key) on the Left and Up axes is incorrect.
It seems to work correctly when the actor has no rotation, rotation only on the Left axis, or when using World Space Coordinates