Is there any emergency situation in which jet engines would not be shut down before passenger evacuation of a transport aircraft?
It is possible for the engine to not respond to shutdown sequence, so you'd have to get the passengers off before dealing with the rogue engine. 

In the Qantas Flight 32 one engine had an un-contained turbine failure in engine No. 2 leaving them unable to shutdown engine No. 1. This was due to a piece of debris severing all communication to the engine, essentially leaving it out of control and running.

This in turn made it impossible for the crew to activate any safety mechanisms for the engine. It was eventually shutdown by dousing it until flameout. 

Report by Australian Transport Safety Bureau

Wikipedia Article on Qantas Flight 32

It should be noted that in this specific case they didn't evacuate immediately due to a fuel leakage and the overheated brakes, though when they did evacuate engine No. 1 was still running. 

Another situation where immediate evacuation may be preferable is if the aircraft had a cabin fire, meaning the highest priority would be cabin evacuation, which could potentially happen simultaneously to the crew attempting engine shutdown.