OK, i gave it a try on my end, too...
I the finder itself you have to use the Command-Key as the modifier to toggle the behavior.
It seems that this is a "bug" in PM right now. That's a thing for Kirk to answer.
If you "just" want to move files, you can use the Copy/Move function in PM.
Select the files in the contact sheet, press "Command-Y" and mark the tick-box "move photos" in the upcoming dialog.
Select the target folder and click "Move".
Sorry, I cannot help.
Sven