When trying to add a shortcut using "Control" and "Shift" plus another key is not possible. Insisting in adding this shortcut leads to erasing the shortcut completely.
Actually we have two issues here: 1) It is not possible to assign a shortcut containing upper-case characters, because e.g. 'shift+a' is interpreted by the ui as (lower-case) 'a'. 2) Editing an existing shortcut by assigning the same key combination to it again, will remove it. This is already reported in https://bugzilla.xfce.org/show_bug.cgi?id=9854 .
This bug is already fixed in the git master branch of libxfce4ui. Cheers, Jérôme *** This bug has been marked as a duplicate of bug 8744 ***