You probably don't have the shorten helper binary which shntool needs to work with SHN files. Download it here.

On a straight conversion from SHN to WAV shntool just acts as a front end for shorten.exe. That being the case, it's easier to use a program called Multi-frontend to act as your front end for shorten.exe. It also works great with flac.exe.

Alternatively, since you seem to be able to work with a command-line program, i.e. shntool, you can just use shorten.exe from the command-line.