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I do all the shift+arrow text marking with my right hand solely, incl. cmd+backspace (delete) - and so, I never run into the problem of accidentally inserting the $08 character anywhere.

But, yes, you are right, holding shift+any arrow key, while hitting backspace, inserts a $08 by the OS X IME. This does depend on what kind of dialog you are writing in (NSTextField, NSTextInput etc.), however, as not all of them accepts this input. You can't input a backspace character this way in Terminal.app, f.e.

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