Shift Z doesn’t have any bindings by default in Premiere Pro, but its location is very convenient for one specific purpose: “Open in Source Monitor.” While you can double-click on most content to open it in the source monitor, you can only open most content. Sequences, for example, will open in the timeline.
The benefit of binding “Shift Z” to “Open in Source Monitor” is that you can open sequences up in the source monitor without moving your hands. It’s one less click, I know, but that convenience places you one step farther from the depths of destructive editing. This kind of editing makes it hard to go back to a previous edit, where the previous version is deleted or mangled in some way (I will be putting out an extensive blog post about destructive editing in November. You can subscribe to be notified).
With the sequence open in the source monitor, you can then select in/out points and insert into your active timeline. The content will be cut and placed into your active timeline without cutting that sequence in your source monitor (destructive editing).
To bind a new keyboard shortcut, go to File > Keyboard Layout in Adobe Premiere Pro. From there, use the left search box to find “Open in Source Monitor.” Click on the cell adjacent to the name, in the “Shortcut” column, and press “Shift Z.” Click OK.
Your shortcut should now be set.