The likely reason fo the iPod being "wiped out" is that it was synced to your previous computer before, and when you connected it to the new Mac for the first time, it needed to be synced to the Mac's iTunes library. You should have seen a message from iTunes warning the iPod would be erased, with the option to cancel syncing.
I don't know why you can't hear anything on the headphones. When was the last time, before syncing to the Mac, that you used it? "5 R's" means you did a Reset and a Restore, correct? Do you have a different set of headphones to try, or a way to try that set of headphones with another device (to confirm the problem is not the headphones being faulty).
Are you sure you loaded those songs on the shuffle? When you select the shuffle in the iTunes sidebar under DEVICES, do you see the songs listed there as being on the iPod.
If this is a 3rd or 4th gen shuffle, does VoiceOver work at all on the shuffle?
It seems odd that the headphones jack (or your headphones) would fail exactly when you synced it to the Mac for the first time. But if you have a way, confirm that those headphones still work, using another device.
According to this
Alternating green and orange light means "ERROR: No music loaded." But you said you actually played the songs from the iPod's song listing... Just to confirn, for a 2nd gen shuffle, you selected the shuffle in the iTunes sidebar, under DEVICES, and over to the right, you went to the Contents tab. That's where you see the list of songs on the iPod.
At the botton of the Contents tab, there should be some controls for the Autofill feature. As a test, try doing an Autofill from your main iTunes Music library, to load the shuffle. See if that makes any difference.
If that does not change anything, you can try using the iPod Reset Utilty.
This utility is just for the iPod shuffle, 1st and 2nd gen. It's like doing a Restore (which I believe you already tried), but at a lower level.