I don't have multiple monitors or Win7 so I can't test, but just a few small things before I go to bed:
1. In your command, I see a dash where you should have an underscore: [SHIFT_UP] - though this probably wasn't the problem.
2. Are you sure you have the right gesture not only selected but also added to your action? I sometimes forget to press "add gesture" after selecting it.
3. You could add an On Screen Display (a command) to your action that says "test"; then you can see whether the problem is that the action never gets triggered, or that the command doesn't do what it is supposed to do.
4. Do you have this action set under Global? It should be.
5. Are you sure the application-specific "right" gesture of another application's settings in StrokeIt isn't stealing the gesture, just as Explorer was stealing it before? (You can see by adding the OSD.)
6. Have you tested whether pressing win+shift+right on your keyboard actually works?
7. Perhaps you could try adding this command as a hotkey instead of as keystrokes; who knows, it might change things somehow.
8. Same for trying LWIN instead of WIN - who knows.
9. You could export your gestures and actions, put them on the internet, and have us look at them some time. I'm not sure I'll have time this weekend, though.