I've tried this on three devices, two OSs, and two keyboards, so I'm pretty sure it's not just me.

When using a physical bluetooth keyboard, the SHIFT key doesn't work. It doesn't matter what app you're using. You simply cannot capitalize letters by holding down SHIFT then typing the letter.

Keyboards are: Sharkk Bluetooth 3.0 and Galaxy S2 Companion keyboard. Tested both keyboards on Nexus 6P (Marshmallow and Nougat), Pixel XL (Nougat), Tab S2 (Marshmallow). Behaviour was the same in all cases.

Tested five other keyboard Apps, and in every case, the SHIFT key works correctly (capitalizes characters when held down).

Work-Around: You can tap SHIFT LOCK, type the letter(s), then tap SHIFT LOCK again. However, for touch-typists, this is the very, VERY cumbersome. I use Swype to increase my productivity, not DECREASE it!