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
http://support.apple.com/kb/HT1407
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.
http://support.apple.com/kb/HT1238
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.