Yes, a shunt regulator must work against a series resistance. When you use it with a solar panel, the series resistance is "built-in" to the solar panel, because by it's very nature, the panel is current-limited. When testing a shunt regulator, you either must use a current-limited power supply, or if your supply is not current-limited, then put a resistor between the supply and the regulator.
Say you are building a 7V shunt regulator, and your supply is 10V. The maximum power that a LM431 should dissipate is a 1/2W, so the max current that it should shunt to ground is I=P/E=0.5/7 = 71mA. Since the series resistor will drop (10-7)=3V @ 71mA, R=E/I= 3/0.071= 42Ω
The resistor power rating should be P=I*E= 0.071*3= 0.21W, so a 1/2W resistor is appropriate.
If you need to increase the power dissipation of the LM431 shunt regulator beyond its intrinsic capability when using in on a 12V battery, it is simple to add an external transistor which increase the current capability...