Cmd-Shift-Tab behaves differently when on dual screen
samh nailed it in the comments. The issue is the use of an external bluetooth keyboard, and has nothing to do with dual monitors / spaces. The dual monitors are part of my office setup, which also has a bluetooth keyboard. I noticed that when using the computer at home (away from the office), the problem went away, and for some reason concluded it had something to do with the dual screen setup (forgot all about the keyboard).

The keyboard is a Logitech Bluetooth Easy-Switch Keyboard K811. I will see if I can find any keyboard setup and/or driver updates that fixes it. Very annoying.

Update: Updated to latest K811 drivers, no change. Googled a bit more and found:

http://forums.logitech.com/t5/Keyboards-and-Keyboard-Mice/K811-left-shift-key-quot-flickers-quot-when-used-together-with/td-p/1066141

tldr; Logitech is probably aware of it, but do not care enough to fix it. It's a great keyboard and Logitech should fix it, but it's hard to recommend it until they do. Switching apps is kind of a core function in a window system...