I hold the shift key down for more then 8 seconds and get a notice about Sticky Keys.
I think you might mean Filter Keys, but the notice is similar to Sticky Keys. On my system holding the right shift key for 8 seconds starts Filter Keys, and pressing either shift key 5 times starts Sticky Keys.
Anyway, that behavior seems to be by design. It's basically holding the shift key down event. I suppose they did this to prevent it from interrupting what you were doing prior to receiving the notice. You should be able to "release" the key by pressing the left shift key.
You can also disable the shortcut completely by going into Control Panels>Accessibility Options and clicking on the "Settings" button next to the Filter Keys description. That'll present a new window with a checkbox that enables/disables the shortcut (it's at the top).