Connecting common of relay with main cable of 240VAC
The relays on the shield you linked are rated for 7A at 250V AC, but I don't think the relay shield itself is designed for that.

The product page states:

Cautions:
Place 2 layers of electrical tape on the top of the Arduino's USB connector. This will prevent the relay shield from making contact. Do not operate voltage more than 35V DC.

(Emphasis mine.)
The datasheet for the relays on that board (Heli Shun HLS8L-DC5V) show that the primary coil is 5V 0.36W:

Note that the contact ratings section specifies 250V AC / 30V DC. This immediately makes me question the difference between the relay datasheet (30V DC) and the shield product page (35V DC).
Since you're using AC, this discrepancy might just be a side note. The shield product page doesn't even mention AC for the switching voltage, it just repeats the 35V DC max switching voltage.

Based on this, I don't think I would connect 240V AC, because it may be that the PCB isn't designed with the necessary voltage isolation.
Further, since you're not experienced working with mains voltage, which can be extremely dangerous, I don't recommend doing so without the assistance of a professional.