Oddly, in Windows 7 via a synergy kvm from a linux machine, with numlock *ON*, shift + kp_8 selects text upwards, while it gives me just an "8" with numlock *OFF*.
In linux, on the machine to which it is directly attached, it works as Findecanor describes. That said, I use emacs mode in linux, so for most of my programs, shift + arrows doesn't do anything anyway. Shift+space turns on selection mode, then only arrow keys are needed.
But in Windows, at least, it works exactly the same as the regular arrow keys, just reverse of the numlock status as you would expect.