Honestly, why not? Shen offers so much for his team and he really doesn't need a lot of gold to be effective. His Q is a nice poke, making him somewhat useful even if he can't go all in. His Q also gives himself AND his ADC greats sustain when used correctly. I always remind my ADC that my dagger heals at the start of each game. His W is a shield for for himself, making him not quite so susceptible to poke. His taunt is great. It is an AOE taunt which meant, when used correctly, you can taunt both of your lane opponents which pretty much guarantees the upper hand in a skirmish. Lastly his ultimate gives him a global presence, able to turn a fight around with the push of a button. Did you just back to get your face of the mountain and so enemies jumped on your ADC? Not a problem! Just ult back in! Lastly, Shen has great HP scaling, and supports build a lot of HP. Ruby Sightstone and Face of the Mountain together give Shen a whopping 900 HP, making his passive stronger AND his heal on his Q more effective.

Pros:

Very tanky support
Great in-lane sustain (no mana, Q is a heal)
AEO hard CC (taunt)
Global presence (R)
Good escapes/1v1 potential as far as supports go

Cons:

Q is short ranged and most ADCs outrange it with their AA
If you miss taunt, you are very vulnerable since you do not get energy back
If you ult to another lane, ADC can be left vulnerable

I just made this guide today and thus there is still much to come, but let me know what you think!