You are just getting confusing information from the debugger. The Keys enum has the [Flags] attribute but it doesn't actually use bits to identify keys consistently. LButton|ShiftKey == 0x01|0x10 == 0x11 = Keys.ControlKey. And that's expected since you hit the Ctrl key first. It is the next keystroke that you want, when you press E while holding down Ctrl. But that won't come because the debugger break messed that up.
The best way is:
if (e.KeyData == (Keys.E | Keys.Control)) {
// etc...
}