Holding the shift key when calling up a context menu is a convention for indicating that you want to see additional advanced options which are normally hidden. One of those options is Pin to Start menu. What is this doing as an extended command?

The Pin to Start menu command normally appears on the context menu of a program or a shortcut to a program. The Start menu pin list was intended to be a launch point for programs, so if the item you pick isn't actually a program, the Pin to Start menu item will be hidden. Furthermore, only items on the local hard drive will show Pin to Start menu. This avoids ugliness if the user accidentally pins a file on a network drive or removable media, and the network is down or the removable media is removed. (Or, if the removable media is a floppy drive or CD-ROM, freaking out the user by spinning up the drive to get the properties of the shortcut.)

The shift key override was aded as an escape hatch, like the double-Ctrl+Alt+Del, in case there was some situation discovered after Windows XP shipped where it would be reasonable to pin a non-program or a shortcut on network or removable media to the Start menu. For example, ClickOnce application are not recognized as executables because their extension is not .exe but rather is .appref-ms. But you can use the shift key override to pin them to your Start menu.

With great power comes great responsibility: If you manually override the Pin to Start menu logic, then it's your problem if you pin something that ends up making your life miserable.

Update: Upon closer examination, I've discovered that my characterization of what the shift keys accomplishes was incorrect. The shift key does not let you force-pin files on the network or removable media. It only lets you force-pin files that aren't programs.