If you have not done so already, restart or shut down MacBook. Start it up with the shuffle NOT connected. Run iTunes. Use this procedure to reset the shuffle
Connect shuffle. If you previously connected it through a USB hub, I would try it with a direct port on the MacBook, with no other USB devices connected.
So, the first time you connected the shuffle, iTunes did not put up messages about syncing the shuffle?
When the iPod shuffle is connected, it does not appear in the iTunes sidebar (left side of window), under DEVICES? (There is a Show/Hide toggle.)
Since the shuffle appears on the Mac's Desktop, it seems to be connecting...
If it's a new or recent purchase, if you have an Apple Store nearby, you should make a reservation at the Genius Bar. If you can, take your MacBook along. If it's defective, you can see about getting it replaced.