Is it possible to enable shift+click in icon view in the Finder?

When they take that feature away from me, what is my benefit?

They didn't "take that feature away"; OS X has never had it. Obviously, we can't know exactly why OS X doesn't have it, so your question cannot be definitively answered in the way you insist upon. But here's my hypothesis:

Finder items in Icon View don't always have an obvious order the way they do always do in List View. They start being arranged in rows by whatever you have it set to arrange by, but you can then drag icons to any position, and that position will be (in theory) remembered forever. If your icons are haphazardly arranged, how is OS X to divine which items are "between" any given two items?

They could come up with some algorithm, but given that your icons could be scattered amongst arbitrary pixel-granular coordinates, there would undoubtedly be cases where it didn't do the thing you thought you wanted. For that matter, also unlike List View, items in Icon View can be located outside the viewable bounds of the Finder window on both axes, and shift-click range selecting would then sometimes select icons you can't see and had no idea were being selected.

So, if anything, what you "gain" by this behavior is an assurance against accidentally moving/copying/trashing your files without expecting or knowing it.

Here is a workaround. In Icon View, select the first and last items using Command-click. Change to List View. Command-click the first or last item to de-select it, and then Shift-click the same item to select the entire range.