It's not really the games fault, it's Windows (it might even predate Windows, I'm not sure).

Holding down shift disables the Numberlock Toggle so the keys act as if Numberlock was off (same as if Caps Lock is on and you hold shift you type in lowercase). The big difference with the "NUM5" though is that there is no normal function underneath it. You can confirm this, with Numberlock on, just hold down shift and press NUM8 or NUM2 in this window. The page will scroll up/down instead of typing 8/2.

There's probably a registry key to disable that behaviour, but I don't know it (if there is one), but hope this at least points you in the right direction!