@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.

Ref: https://stackoverflow.com/a/68601955/2132069