If you shift-click a line number, would you expect that whole line to be included in the selection or not?

The line should definitely be included in the selection; holding down the shift key should not contradict the outcome of the click.

Sublime Text and Visual Studio Code do include the line in the selection.

So do BBEdit, CotEditor, and SubEthaEdit—just to name a few more examples. I don’t think I’ve ever seen a text editor do it any other way.