You can jump cancel grab in addition to jump canceling smash attacks and item throws. Perfect Pivoting, Ledge Trumping, Jump Cancelled Tossing, Pivot Dashing, Ledge Sliding and for Shiek (and other Melee esc characters like Zero Suit Samus, Diddy Kong, and Captain Falcon) Ledge Cancelling are all very important to learn for pressure, spacing, and general speed of movement and play. You'll be able to find guides on how to do all of these on youtube. Hopefully these and other gameplay examples will help you get your start. Shiek isn't the only melee esc viable main in this game, Fox may be another character you're familiar with who's good in this game and has heavy comboing ability.
Perfect Pivoting
https://www.youtube.com/watch?v=6vaR4RM-qr0
Glide Tossing
https://www.youtube.com/watch?v=G3_vOtY5kCc
A Shiek Specific Tech
https://www.youtube.com/watch?v=8DXTNEPqcVo
General Ledge Trumping
https://www.youtube.com/watch?v=2vVug_cxA6A
And examples of combos making use of Ledge Sliding and the game's limited jab locking capability, though most characters can combo without doing this it's a nice thing to keep in mind for it's potential for damage and KOing.
https://www.youtube.com/watch?v=guoksvQ_27o
Edit:
Here's some footage of Shiek's Edge Cancels with Down B
https://www.youtube.com/watch?v=YZYyPd-jloM