Because Shae was murdered, and she didn’t deserve to be. Women in real life are constantly being murdered or assaulted by their lovers or exes, and Shae’s murder by Tyrion reflects that. I understand that the audience may like Tyrion, he’s very popular, but that doesn’t make it okay to murder someone who hurt your feelings or “betrayed” you. (Not to mention Shae was basically forced into testifying, it’s apparent, and Tyrion had dumped her so she owed him no sexual loyalty, but those are minor points.) People being happy about the death of Shae is a reflection of the misogyny and violence toward women being enabled in our real-world society. Society blames the victim. It’s not just about fictional characters. Real-life Shaes get killed every day. That’s why it bothers us.
Additionally, Tyrion is meant to be a morally grey character, not a hero- “the greyest of the grey,” according to Martin; this is what makes him fascinating. Washing away all his sins and justifying his murder of her isn’t doing the character or the novels any favors.
All must be sacrificed on the altar of making Tyrion the ultimate woobie.