It depends on what you want to achieve.
If you use Shift-Return, you are still in the same paragraph with all the same paragraph style features; and the space above the new line will be determined by the font leading. Additionally, if the alignment of the paragraph style is set to justified (of which there are four varieties) then the line you have just left will be expanded to stretch from margin to margin — not a good look. Shift-Return really only works with align-left, align-right, align-centre and align-towards-spine.
If you use Shift on its own then you will be in a new paragraph and, depending on the “Next Style” settings in the paragraph style of the paragraph you have just left, you may be in a completely different paragraph style; and the space above the new line (new paragraph) will be determined by the “Indent and Spacing” settings of the new style. If the space above and below is set to zero and the alignment is left, right, centre or towards-spine, then the new line (new paragraph) will look much the same as a Shift-Return.