I actually don't think that you do (the BJ policy is the only one that seems to really belabor this point). I recall seeing a description of the SH policy that spoke of Shanghai, Zhejiang, and Jiangsu as acceptable (you would be good under this, if applicable), but during recent years, I haven't noticed such a clause at all. Though it is clear that you must depart from one of Shanghai's airports on an international flight.