When fighting Shalltear, why would Ainz use Body of Effulgent Beryl?
According to volume 3 of the light novel, the lance does "battering"(i.e. bludgeoning) damage in Chapter 5. Which is why Ainz used it.


  The tenth-tier spell Body of Effulgent Beryl, in addition to decreasing damage taken by battering weapons for its duration, allow onetime full immunity to the damage. By having Body of Effulgent Beryl absorb the damage from the lance, its tip moved out of his body as if time had been rewound.


This explicitly states that Shalltear's weapon does bludgeoning damage and it as absorbed by the spell. 

As a side note undead races have a racial vulnerability to bludgeoning damage (Bludgeoning Vulnerability V).