You are right, this issue arises on terminal Vim. The easiest would be to stick to Gvim.
Update: For rxvt-unicode, edit your
.Xresources file and use the CSI found by Raphael in the article "Fix Keyboard Input on Terminals":
This Vim Tip addresses the
S-Space mapping problem:
Vim runs on many different hardware and software platforms. Therefore
some key sequences may not be available. For example, you may be able
to map Shift-Space in a GUI Vim, but not in a terminal Vim (and even
if you could, if you were running via PuTTY, for example, Vim might
not receive the key code).
There seems to be a workaround for Urxvt:
For Shift-Space in terminal Vim, I used
URxvt.keysym.S-space: \033 in .Xresources. (for the rxvt-unicode terminal emulator).
And a way to test if your Vim recognises the key combination:
To test your system, enter insert mode then press Ctrl-K followed by the key of interest (for example, press Ctrl-K then Shift-Space).
This SO question may help you, even though the answer reasserts that:
You cannot. CMS's solution will work for gVim, but not in vim because terminals cannot distinguish between and because curses sees them the same. It might be possible in the future if vim gains libtermkey support and your terminal supports the proper sequences (xterm does if properly configured; nothing else does yet).
If your are using iTerm, there might be a solution in the second answer.
See also Mapping Shift-space: how to tell if its possible?
When Vim is run in a terminal (i.e., in console mode), it's at the
mercy of the terminal's keyboard logic. Some keys or key combos will
not be passed at all. Others will be "translated" according to the
current locale. For some keys, Shift and/or Ctrl and/or Alt may get
lost, jointly or severally.