Minimum spanning tree vs Shortest path
Consider the triangle graph with unit weights - it has three vertices $x,y,z$, and all three edges $\{x,y\},\{x,z\},\{y,z\}$ have weight $1$. The shortest path between any two vertices is the direct path, but if you put all of them together you get a triangle rather than a tree. Every collection of two edges forms a minimum spanning tree in this graph, yet if (for example) you choose $\{x,y\},\{y,z\}$, then you miss the shortest path $\{x,z\}$.

In conclusion, if you put all shortest paths together, you don't necessarily get a tree.