The behaviour seems intentional, but it’s not usually what I’m after. Most of the time I want to nudge in whole pixel increments. Here’s how you can do that, without zooming out to 100%.
Open your document, then create second window by choosing Window > Arrange > New Window. You can then resize the new window and place it somewhere that’s out of the way.
Edit in the other window as normal, zooming in as far as you’d like. You’ll now be able to press Command-` to switch back to the window that’s zoomed to 100%, nudge using the arrow keys, then press Command-` to switch back again. Because the other window is zoomed to 100%, nudging will move the selected vector points exactly 1 pixel.
Please note that holding shift while using the arrow keys to nudge always moves 10 pixels, no matter how far in you’re zoomed. Also, dragging points with the mouse snaps to pixels in most situations. Most, but not all.
While not perfect, this technique has helped remove some of the frustration with detailed vector path editing in Photoshop. Or maybe it’s just another reason complex shapes should be drawn in Illustrator first, then pasted as shape layers?
If anyone from the Photoshop team at Adobe is reading this, please consider adding a global Snap To Pixel option that replaces all the other similar options sprayedthroughout the UI. Just one global switch that can be either on or off that means every single action can be pixel snapped or not.