Why is macroeconomics studied through "Shocks"?
Im assuming you're discussing some of the models associated with Real Business Cycle Theory.

These models have a structural underpinnings (meaning that there is some assumptions/empirics with regard to consumer behavior). Starting with the understanding that consumers are also suppliers of labor which face a intertemporal consumption-leisure trade off and Firms are profit maximizing and use capital,labor and technology to produce.Using this setup we can do some standard calculations for what equilibrium and Balanced Growth Paths would be.

Now this as it stands is not a theory of fluctuations. The way Fluctuations are accounted for in this model is VIA exogenous shocks that enter through Technology,A overall change in aggregate preferences and increases in interest rate ect. This enters in the error term of all our equations. 

This is the justification for using Impulse response functions, Its to analyse what the implications are for surprise changes in our variables in terms of consumer and producer behavior.

TL;DR:
The main point of this analytical process of shocking is to be cognizant for how economic shocks enter the economy and what the implications are for consumer and producer behavior. This is based on the structure of that is imposed by economic theory.