GSM shield 2 - Fully erase memory buffer
Well, after many trials, here is the thing: the GSM shield actually can suck up a lot of electric current (up to 2A at full whack).
So, for some functions (connecting to the GSM network, deleting SMS), if you MEGA or UNO is only powered through your computer's USB port, chances are that the whole program will get stuck in a loop waiting for the command to execute.
Good news: if you just plug a 12V power cable even in the middle of the freeze, the program will go on.  

So, the bottom line: never try to use the shield without a good powering system.