Where are the keying set's keyframes in the dope sheet? With no keying set specified when I press I and select LocRot for example, it places keyframes on both dope sheet and F-curve graph editor.

However I started making my own keying set comprised of 3 shape keys value. When I press I, it only appears on the F-curve and not in the dope sheet. Any way to make it appears on the dope sheet too?
Oh, never mind. I was in Action Editor mode. That mode does not include shape keys and shape keys can't be included together in an action. There is an exclusive Shape Keys Editor mode with its own (special?) action or even Dope Sheet which you can see the shape keys.