Killing the Shades off is quick if and only if you use the magic+bullets combo... and I think this is where my limited testing strategy (force my friends to play it, basically) really fell down. That combo is very similar to something in Halo called the "noob combo" and my friends all play Halo. For us it was almost instinctive, but for a player coming in from the cold yeah, why would you even try that?
Otherwise it takes almost a full magazine, which is probably a little excessive in retrospect. By FPS standards it's not unreasonable but more into bullet-sponge mid-level enemy territory. From my limited experience SHMUPs have fairly short TTK on non-boss enemies in general, don't they? I can see why you'd find the Shades so overpowered.
I do see the value in having an absolute cannon fodder basic enemy. I didn't really think of it at the time and I'm not sure if I'd put such an enemy in were I to do this again given how small and short the game was, but if I was going a bit bigger in scope I'd slot something in under the existing Shades. Some kind of Lesser Shade, maybe. I think it would add something to the combat in addition to serving as a gentler introduction.
There is a visual indicator for the enemy's shields- it's the glow they give off which fades as they take damage and there is a bit of a flash and pop when they drop. Unfortunately- and you're not the first to bring this up- it didn't work out as well in practice as it did in theory. Part of it is the effect just not being noticeable enough- in particular the audio cues are basically inaudible in the heat of combat. I think it also would have helped a lot the point it out at least once, which is again something that would have been in the original much bigger concept but was left by the wayside.
I think there might also be a bug with the lighting effect that causes it to become almost invisible when enemies drop below about half shields but I've never confirmed that.
I find your disdain for the dialogue box kind of amusing to be honest. I will try to make it nicer next time. But no promises.
Out of curiosity, what kind of setup are you playing this on? You've mentioned twice that you found the text too small but to me it actually seems too big.