This is not bound to an item being clicked. When the time selection is extended by dragging its ends, undo points are created, but when it is extended by shift+clicking, no undo points created.
Just a nitpick: in the undo history,
dragging the time selection reads "Time selection change"
and shift-clicking reads "Time Selection Change" (with capitals)
I have found where the problem is why it does not work. When a mouse modifier for Left-drag->Shift is set to "Marquee items", the undo point with "Left-click->Shift->Extend time selection" is not created.