I wonder why that's the case. shell access is way more permissive compared to the sftp subsystem.

Why would and admin enable full shell access but not sftp? What does sftp allow that shell access doesn't?

Pure shell access clearly is a superset of all functionality - for example, given shell access, a poor man's scp would be

    ssh user@remote "cat /path/to/target/file" < local file

and if you need to do more files at once, add `tar` to the mix.