whenever you connect with an attack, both the attacker and the person getting hit suffer a number of frames of hitag—calculated based on a few factors, such as the damage of the attack and whether or not it's electric (which shine is). these hitlag frames are the "freeze frame" effect that's especially noticeable with super-strong electric attacks like Falcon's knee. and basically hitlag delays actionability.
so yea, you're absolutely correct. because of hitlag, when you actually connect with shine, your jump cancel or wavedash out is going to be delayed compared to when you just do it neutrally.
i don't really know of a good guide explaining the hitlag mechanics here, unfortunately, but that's the gist of it, other than stuff having to do with SDI and ASDI.
EDIT: oh, how could i have forgotten—based @
Kadano has a godlike YouTube channel called Melee Mechanics. and he has a video that goes over this exact thing:
https://www.youtube.com/watch?v=7RP3sbS7Dm0