I do not think the shading element has any effect
I did a simulation with and without it and I get the same results. The same total loads.
There is a error related to the glazing, I tried to solve it but I think this is it.
What did I do wrong?
The glazing error occurs because your window is on an adiabatic surface. In EnergyPlus, adiabatic surfaces cannot have windows. (And since the surface is adiabatic, solar gains through the window are ignored, which explains why the shading device had no effect.) If you change the list-item indices for your exploded box to make sure the window is on the exterior wall, it should start working.