Map screen sleep (ctrl+shift+eject) to F19

I always use this combo as well, however this does not immediately sleep my machine in ML.

I believe this is a separate issue at play here. According to Siracusa's ML review, unlike in previous OS X versions, in 10.8 your system is eligible for sleep immediately upon "user inactivity" (the inactivity delay being set in your energy saver settings) unless the currently running apps make "power assertions".

In this case, that key combo is signalling to the OS that "user inactivity" should be triggered right away. In such a case, if your particular app that's downloading stuff does not make power assertions, your system will sleep.

I have come across the same issue generally (not necessarily related to triggering the screen sleep combo). See: Mountain Lion sleeps too aggressively

The same thing happens on my 10.9 and 10.8 VMs. Control-arrows and shift-arrows don't do anything by default in bash. Where were you even using shift-arrows to select text? emacs or vim?

If you want to use control-left and control-right to move between words in bash, add these lines to ~/.inputrc:

"\e[1;5C": forward-word
"\e[1;5D": backward-word

To use shift-arrows in Emacs, map shift-up to \e[1;2A, shift-down to \e[1;2B, shift-right to \e[1;2C, and shift-left to \e[1;2D. If pressing shift-up results in a message like <select> is undefined, try setting TERM to xterm-vt220.