First, see bug 1919 for info about the weird handling of shift + numpad.
When numlock is turned off, pressing shift+delete results in delete with the Windows client and comma with the UNIX client. This can be a bit confusing as the user probably doesn't expect different clients to give different keyboard behaviour.
The current behaviour is actually the desired behaviour. The overall principle is that the keyboard should behave the same in ThinLinc as in local applications on the client.