In Splinter Cell, you walk very slowly - then to walk faster you scroll up a bit, to run you scroll up even more and reverse to slow down. Basically this allows you to have more than two moving speeds (walk and run), it's an adaptation of a PS2's analogue stick which Splinter Cell was originally designed to move with different speeds depending on how far you push the stick. Fairly useless really, I would think, outside of Splinter Cell where you often need to change speed dynamically to make sure you're not heard or seen. Oblivion's sneaking probably won't be sofisticated enough to need it and otherwise holding down shift would be much easier.
--------------------
|