The phase "in previous versions of Excel" suggests the OP is using XL2007.
(Is it not time every question stated what version is being used?)
Holding down SHIFT never made a straight line, it merely ensued the line was
either vertical or horizontal (ie. parallel to the gridlines). You must
select the straight line item not the free-hand line.
I had no trouble in XL2007 using Insert | Shapes, selecting a line and hold
SHIFT while drawing a line of either type.
best wishes