I left out the diode because it is not needed. If a 6cell SLA battery has been sitting unloaded for more than a few hours, its terminal voltage will be <13.6V. If you connect that to the shunt regulator which turns on at 14.2V, then only the four or five hundred uA will leak from the battery. The diode will not have any appreciable effect on the power dissipated in the power transistor.
If your test bench power supply has a current-limit knob, set the max current to ~300mA, set the open-circuit voltage to ~15V, and then hook it to the shunt regulator. The power transistor and its small heatsink should get hot to the touch, but not hot enough to burn your hand. Under this condition, the power transistor would be dissipating P=IE = 0.3*14.2 = 4.2W.
If your bench supply puts out 3A, then the power transistor would be dissipating 42W, and it will brand you...