How it behaves: Shift-Dragging in a new point immediately creates and selects the point. It's fast, intuitive, you immediately create the point and are automatically dragging it with a single gesture.
This
only works as expected AT the gridlines.
See above - creating a new point
between gridlines requires Ctrl-Click to create a point, then Shift-Dragging the point to move it without-snap between the gridlines.
I find this unbelievably counterintuitive, as you see in the gif - Ctrl-Click is a "free draw" action and it's so easy to draw multiple points which leads to all kinds of fun.
Expected behaviour: an action that works exactly the same as Shift-Drag, but between gridlines - as if gridlines were temporarily disabled during the drag.
One gesture - create a point, and while dragging put it where you want.