As of right now, none of Shen's skins have Particle Changes or Color alterations on their effects, aside from a model change to his Spirit Blade sword. Shen's rework took place on Live on January 28th, 2016 (Patch 6.2), where Riot also updated his 6 skins (two of which are 975, two are 750, and two are 520).

Now I bring this up largely because of the recent trend in Riot's skinmaking; A large portion of new champs (excluding Kled) are typically released alongside a 1350 RP skin that includes quite a few particle changes, or at least a recolor of their particle effects. Additionally, as champions receive reworks, many of their skins receive a lot of love to their particles and effects; Hextech Galio gains a neat vibrant blue effect to his Qs, Shadow Evelynn receives a more fitting Blue color scheme to her effects and Tango Evelynn receives a unique dance alongside a vibrant Red color scheme. Giant Enemy Crabgot also receives unique joke animations and a blue scheme to his effects.

Now I want to point out that the four skins stated above are not 975 skins. In fact, quite far from it, all four are 520 RP; the second Lowest Price for skins (lowest being 390 for Assassin Master Yi, Golden Alistar, and White Mage Veigar). Additionally, Shen also has a Blood Moon Skin, a skin theme that now has 11 other members, 10 of which have very significant Particle Changes. And although Shen's version of the Blood Moon skin is only 750, there's no reason for it not to have at least a similarly Red color scheme akin to the rest of the theme (Blood Moon Akali also suffers from this, however Akali has not received a rework or graphical update). As such, playing Shen feels like I have much less customization when choosing skins, compared to say, Urgot or Galio, even though they're all reworked older champions with relatively cheaper skins. At most, I have TPA Shen's special SFX on autos (which I will admit is incredibly satisfying).

Skins that I feel could use a color change or particle effect are Blood Moon, TPA, and perhaps Warlord (given Warlord has Chromas, color customizable effects based on Chroma would be nice, especially since it's a 975 skin). Frozen Shen could also use an icy effect.