I didn't know you could do that and I've been using some form of Photoshop on a Mac for years
I did some experimenting and if you have a tool selected that has it's own blending mode, you are correct, holding shift and hitting the + and - keys will cycle through the blending mode for the tool.
But - if you select a tool that doesn't have it's own blending mode, the shift and + or - will work on the layers blending mode selection.
Don't know why it's like that, but at least there's a way to do it.
Take care, Margaret