Their argument is that if they signed a particular distro's GPL-licensed binary, then the user of that binary can ask for the source to be able to regenerate that binary, and that would require the signing key for completeness to be able to boot that binary.
shim is MIT-licensed so that requirement does not apply.
(*) To be precise, the key used to sign Windows and the key used to sign the rest are different, but both are enabled by default. That said, in 2022 there was talk about some UEFIs disabling that latter key by default: https://news.ycombinator.com/item?id=32066919
IIRC, shim has a way to allow someone physically present to add additional keys which will also by trusted by that instance of shim. That's enough to satisfy the GPL requirements.