Not sure if you have given up on this, I almost have but I am stubborn!
As I mentioned there are two lights on the two switches, if I connect the shelly to the first one (tested by disconnecting one of the switched lives until established which is first in the series) and disconnect the second the loop of the switched live that goes to the second light, all works as expected.
in fact if I leave SW loop connected for the second light, but just remove the bulbs, then the first light/shelly works as expected.
Does this help with diagnosis?