It does not allow constrained movement of the other direction once the direction is fixed. Sometimes it is fixed to vertical movement, other times it is fixed to horizontal moment. There's also occasion where it gives up on constraining any direction and the "shift to constraint" function basically becomes unusable for dragging a selection. I have no idea which steps decides the direction of the movement but after the initial shift+drag the direction is fixed, it will remain that way even for new documents. Only restarting the program would kind of "reset" it.
shift+drag without selection is normal
shift+drag is fixed to one direction for selections