Apple - How to disable visual display of modifier keys?
It sounds like you have the “Sticky Keys” feature enabled.
To control the setting, open the System Preferences application ( > System Preferences…), load the Universal Access preference pane, goto the Keyboard tab. You can turn “Sticky Keys” Off (or On) there. You may also want to disable the “Press the Shift key five times to turn Sticky Keys on or off” feature. Or, if you want the sticky feature without the display, just disable “Display pressed keys on screen” and leave it enabled.