I understand you use shift-L but I suspect my cursor is not in the right place because nothing gets set when I use shift-L.
Would appreciate any guidance on this.
I do not use shift-L to set loop points, so I looked up the key assignment in preferences. I found this, which seems to imply you need to have your selection points (From, Thru) set first. Just a guess. I use the Loop Module in the Control Bar and/or drag the loop start/loop end markers.