For a non-negative integer $k$, let $\mathrm{HS}_{k}(J(G))$ denote the $k^{\text{th}}$ homological shift ideal of the vertex cover ideal $J(G)$ of a graph $G$. For each $k\geq 2$, we construct a Cohen-Macaulay very well-covered graph $G_k$ which is both Cohen-Macaulay bipartite and a whiskered graph so that $\mathrm{HS}_{k}(J(G))$ does not have a linear resolution. This contradicts several results as well as disproves a conjecture in [J. Algebra, $\mathbf{629}$, (2023), 76-108] and [Mediterr. J. Math., $\mathbf{21}$, 135 (2024)]. The graphs $G_k$ are also examples of clique-whiskered graphs introduced by Cook and Nagel, which include Cohen-Macaulay chordal graphs, Cohen-Macaulay Cameron-Walker graphs, and clique corona graphs. Surprisingly, for Cohen-Macaulay chordal graphs, we can use a special ordering on the minimal generators to show that $\mathrm{HS}_{k}(J(G))$ has linear quotients for all $k$. Moreover, for all Cohen-Macaulay Cameron-Walker graphs and certain clique corona graphs, we show that $\mathrm{HS}_{k}(J(G))$ is weakly polymatroidal, and thus, has linear quotients for all $k$.