Source: Wikipedia > Table of keyboard shortcuts
(Excerpted and selectively edited)
Many shortcuts are just common conventions and are not handled by the
operating system. Whether such commands are implemented depends on how
an application is written and the frameworks used. Not all follow
these conventions, so if it doesn't work, it isn't compatible.
It appears that there are a few theories as to why Shift+Del has been used as a combination for cut.
The keyboard board combination doesn't always behave as expected depending on the app and the same approach used by users to eliminate the behavior where undesirable, can be leveraged to reintroduce it where desired.
Using AutoHotKey (AHK) you could add a script that replaces that key combo for WhatsApp Web only. Something along the lines of:
#HotIf WinActive("ahk_class WhatsApp")
+Delete::^x
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