What is shunt regulator in comparison with voltage reference
The main difference between a regulator and a reference is that the accuracy of a device intended for use as a reference will be fairly good- usually +/-1% or better for tolerance and similarly good regulation and output noise level. Many regulators are only guaranteed to +/-5%, down to perhaps +/-1%. Regulators are usually designed to handle more current. Series voltage references almost always can sink as well as source current, whereas that is rare in voltage regulators. 

There is a some overlap- it's quite possible to use (especially a lightly loaded) regulator as a reasonable reference, and you can certainly use a reference as a voltage regulator in some circumstances. 

Most regulators are "series" type, as opposed to shunt type. A shunt voltage reference (or regulator) behaves like a very accurate Zener that requires a certain relatively high minimum current to properly regulate. For example, the cheapest variant of the LM431 requires an anode current of 1mA minimum.

Series regulators and voltage references have a minimum of 3 pins- an input, a ground, and an output. Series references are widely available, though they tend to be more expensive than shunt types. An example of a series reference would be an ADR4550. It can supply 5V at up to 10mA, which does not sound very impressive for a voltage regulator, but is accurate to +/-0.02% (+/-1mV) for the highest grade.

The LM431 is the voltage reference used in many (probably most) isolated switching supplies such as PC power supplies- tied together with an optoisolator it allows closed-loop control of the output voltage. 
It could be used as a voltage regulator, similar to a zener diode, with similar limitations (plus a higher minimum anode current). Shunt supplies don't work so well when there is a lot of input voltage variation and especially when the minimum input voltage approaches the output voltage and output current is substantial. That's because the series resistor must be low enough to deliver the maximum load current plus the minimum regulator anode current with the minimum input voltage. So suppose your load could draw as much as 10mA @ 5V and minimum 1mA, and you want an input voltage of 6V-15V. The resistor can be no higher than (6V-5V)/0.011A (1mA for the LM431) = 90\$\Omega\$. In reality there are a couple other tolerances so suppose we make the resistor 82 ohms. Now when the input voltage is 15V, and the load current is 1mA, then the LM431 must conduct 121mA, which is above its rating, and dissipate 1.21W which is well above its capability, especially for an SMT SOT-23-5 type.