cua-highlight-region-shift-only is a variable defined in `cua-base.el'.
Its value is

If non-nil, only highlight region if marked with S-.
When this is non-nil, CUA toggles `transient-mark-mode' on when the region
is marked using shifted movement keys, and off when the mark is cleared.
But when the mark was set using M-x cua-set-mark, Transient Mark mode
is not turned on.

You can customize this variable.