Shock cavalry = crap in melee. If they are not charging, they're doing it wrong.
Melee cavalry = not so crap in melee but still not great. You want to be charging with any cav really imo but melee cav beats shock cav in melee. They're also better at killing off units they charged into. Shock cav is more for the morale hit I guess. They are meant to end fights whereas melee cav seems like more of a battlefield fire brigade to me.

I have not played any factions with good shock cav yet, so I can't really comment on them an awful lot but I find them less versatile and useful than melee cav.