Shift Z is assigned to both New Depth Range Mask and Window > Secondary Display > Loupe - Live (all languages). When editing an image with a depth map, Shift Z invokes the New Depth Range command until you open the secondary display window, at which point it invokes Loupe - Live. Even after closing the secondary display window, Shift Z will no longer invoke New Depth Range Mask until you restart LR.
Test on LR 11.5 / Mac OS 12.5.1 and Windows 10.
1. Restart LR.
2. Edit a photo with a depth map.
3. Shift Z makes a new Depth Range mask.
4. Reset the photo and repeat step 3.
5. Do Window > Secondary Display > Loupe - Normal.
6. Shift Z toggles between Loupe - Normal and Loupe - Live, rather than opening a new mask.
7. Close the secondary display window.
8. Shift Z no longer creates new mask.
This behavior may be related to the flaky behavior of Shift Z on Mac: