Water is an incompressible fluid. Blood is mostly water. You release a bunch of energy into a pipe or a jug of water and it blows out the containment. Yes, a shock wave is created, which may cause a pipe elbow to rupture.
So, similarly with blood vessels in an animal. The shock wave can travel, but if the blood vessel is ruptured by bullet fragments the shock wave might not travel very far at all. You can't predict with certainty as to "shock therapy".
So we're back to the more reliable issues of wound channel and tissue damage.