Shen is a tanker, and as you should know Shen attack is already good enough, so they wouldn't be needing any attack damage. So for Shen you focus on 3 things, armor, health and health regeneration. This is the true way to build Shen. As you know, people think Shen can't kill people well with this build, but that is false. I did quite well with this build. I have carried many games with this build. The other thing about it is a master Yi with full critical AD build can't even beat me in 1v1. This build is really good fighting against people. You can tank a lot of damage. In one of the game, I was doing 1v4, and it took them around 1 min to kill me, but 2 of them died. This have showed me that this build can help me kill people and tank people hits.

Pros
~ Good for tanking
~ Can last in battle and support team easily
~ During 5v5 you can tank all the hits while your team can kill them all (but you might not survive)
~ Easy to kill champs after getting 2 warmog armors.

Cons
~ You have to be fed to get this full build.