My bad... I just tried that with my 1st gen shuffle, and you are right. It does not play from the Contents listing. Maybe this was changed, because I'm pretty sure I did it before (but that was a few years ago). Or maybe my memory is fading... 🙂
In any case, perhaps I can offer a work-around. The "work-around" is actually a more convenient way to do what you want, in my opinion.
I fill my shuffle using the Autofill feature, which is at the bottom of Contents tab. I created a playlist in iTunes that only has songs I want on my shuffle. I use Autofill to load my shuffle from that one playlist.
I can update my "shuffle" playlist at any time (adding and removing songs), even when the shuffle is not connected. I can listen to songs on the playlist at any time. When I connect my shuffle, I can use Autofill again to update the shuffle with any changes to the playlist.
Be sure to check Autofill settings. In your case, the option to Replace all items when Autofilling should NOT be checked.