Update: this issue seems to be resolved in macOS 10.15 Catalina, which will be available in fall 2019.
Unfortunately macOS 10.14 broke all keyboard shortcuts that contains modifier keys and arrows. All VNC clients are affected.
We have notified Apple regarding this issue and we hope that it'll be fixed soon. In the meantime, the workaround is to change the shortcuts via System Preferences > Keyboard > Shortcuts > Mission Control and use other keys than arrows.
For example, you could use CTRL-SHIFT-M for Mission Control instead of CTRL-SHIFT-UP and so forth.
Important: In order for this workaround to take effect, make sure that Screens Connect is installed on the Mac you're connecting to as it sends current shortcuts to Screens.