I do not believe Photoshop allows users to use *modifier keys* for Tool shortcuts, any modifier, not merely the <kbd>Shift</kbd> key.

[![enter image description here][1]][1]

The <kbd>Shift</kbd> key won't present the warning above, it'll merely be ignored. The <kbd>Shift</kbd> key already plays an important roll in tool shortcuts within Photoshop. 

Much like Illustrator, using <kbd>Shift</kbd> with a tool shortcut in Photoshop cycles through tools in a set. 

For example, typing `b` selects the Brush Tool. Then typing <kbd>Shift</kbd>+`b` selects the *next tool* in the "brush" tool group - the Pencil tool, typing <kbd>Shift</kbd>+`b` again selects the *next tool* - the Color Replacement Tool, etc.

The *problem* with the Pen tool group is seemingly, *by default*, <kbd>Shift</kbd> will only toggle/cycle between the Pen Tool and the Freeform Pen Tool. It doesn't go any further into that group (at least here). 

But, you **can change that**. Rather than inserting a *new* shortcut, merely add the *existing* Pen Tool shortcut for the other pen tools. The <kbd>Shift</kbd> cycling only works if the shortcut is set the **same** as the other tool shortcuts in *that* particular tool group. 

So, if you **set the Convert Anchor Tool shortcut to `P`** to match the other Pen tools, then you can cycle to the Convert Anchor Tool by using <kbd>Shift</kbd>+`P`. <br><sup>(You could change them all to `C` but then you lose the Crop Tool group shortcuts)</sup>

Note this also allows you to control the <kbd>Shift</kbd> cycling. If you *remove* one of the shrotcuts, it'll no longer be cycled to with the <kbd>Shift</kbd> shortcut. So, for example, I *never* use the Freeform Pen Tool. By default the Freeform Pen Tool has the `P` shortcut so it shows up when cycling through the tool with the <kbd>Shift</kbd> key. If I *remove* the `P` shortcut for it, it will no longer be part of the <kbd>Shift</kbd> cycling.


  [1]: https://i.sstatic.net/pMQQ5.png