Nice build ive been using something very similar to this when playing shen, my only changes are getting 1 point in Feint at lvl 4 and instead of Banshee's Veil ive been using Spirit Visage more CD reduction a bit less health and magic resist but adds 20% bonus healing effects works really well with Vorpal Blade in 1 on 1 situations if you find yourself in one

Oh as to why its called the tanking ninja is a play on words, your goal is to take what kills you can from group fights even if it means ninjaing from another reason for this is shen doesnt get alot of creep farm, he NEEDS the gold from kills to be of any value to your team. Good luck and have fun