@Esmail's answer is correct and thanks to him. I shortened it:
Open C:\\Users\Your-Username\AppData\Roaming\Notepad++\shortcuts.xml
Add that code to <Macros>
section:
<Macro name="New Line Shift Enter" Ctrl="no" Alt="no" Shift="yes" Key="13">
<Action type="0" message="2451" wParam="0" lParam="0" sParam="" />
<Action type="0" message="2451" wParam="0" lParam="0" sParam="" />
<Action type="1" message="2170" wParam="0" lParam="0" sParam="
" />
<Action type="1" message="2170" wParam="0" lParam="0" sParam="
" />
</Macro>
Close and reopen notepad++. Enjoy.