Since you're CO Gold (*G) and Shanghai Airlines is at the present moment a part of Star Alliance, you'll get all your *G benefits (lounge access/priority boarding/miles etc.) Shanghai Airlines is an ok airline, similar to that of UA but better (i.e. with meals).

Shanghai Airlines is the only nonstop option to PVG. Unless you're looking for some better airlines (i.e. KA/CX via HKG - you can earn on 9W), it is the best option.