Must take net damage vs prevent net damage
Firstly, any damage that doesn't have "cannot be prevented" can be prevented.

Secondly, if you choose to take damage instead of adding Shi.Kyu to your score area, it doesn't go to your score area, even if you prevented some/all of that damage.

So yes, it's a valid play to choose taking damage, have it prevented with guru davinder (or any other damage preventer, this is not relevant part), and don't take Shi.Kyu.
There already is similar ruling regarding Wotan's last two subroutines and Data Raven's encounter ability Wotan and Raven ruling.

A curious person can find different ruling on seemingly similar case Snatch and Grab ruling. The difference is that S&amp;G is worded "do X to Y". "To" implies [cost:effect] relations, and as such preventing the cost from being paid prevents the effect from happening. Discussion on this case is here: BGG forum

To sum it up, here is a great excerpt from BGG post by CommissarFeesh:


  In short though; Data Raven gives you the choice of x (take a tag) or y (end the run). You must choose one of these effects to resolve. By choosing to resolve x, you completely negate y, even if you prevent x.
  Snatch and Grab though is do x to do y - if you never actually do x, then you haven't paid the cost for y.