I hope this thread could enlighten some ideas and give an opportunity to discuss his real role in future expansions.
Shen is a new character to the game, but according to his own, he has knows Zoltun Kulle, what makes him at least 300 years old, according to Tyrael.
He doesn't seem to have fear, nor is he ambitious despite dealing with so many money in form of jewels, and he does care about living the good and bad moments of life, regardless of their consequences. He seems surprised for some behaviors and seems to react differently than a human to some trivial day-to-day facts.
He doesn't answer directly when asked if he was a god by the main hero.
He seems to care about starving people who rob him for their own survivability.
What about you. Who do you think he really is?