You're checking if the player has PRESSed the shift key (the single frame) and not if they are holding it down. Use keyboard_check(vk_shift) instead of keyboard_check_pressed(vk_shift)

You should really use variables instead of 'hspeed -= 2'. So, movespeed = 4 (normal run speed), then have movespeed_sneak = 2; in the create event. Also have movespeed_normal = 4; so you can reset it. So then, you can use

key_left = keyboard_check(vk_left);
key_right = keyboard_check(vk_right);
key_sneak = keyboard_check(vk_lshift);

if(key_left || key_right && key_sneak) movespeed = movespeed_sneak;
else movespeed = movespeed_normal;

Not sure if that code works specifically but you get the idea ...