You checked Sync only checked songs AND you unchecked everything your iTunes library, except for the songs you want on the shuffle?
NOTE: If your previous shuffles were 1st or 2nd gen, the 3rd and 4th gen shuffles work differently. They work more like the "bigger" iPods.
A better way to set up syncing, is to create one or more playlists, with only the songs you want on the shuffle. Then, select the shuffle in the iTunes sidebar, under DEVICES. Over to the right, go to the Music tab. This is where you define how iTunes syncs its library to the shuffle. Set it up to sync ONLY those playlists with songs for the shuffle. When you click Apply, your shuffle will have those songs and playlists, and nothing else.
Subsequently, whenever you update those playlists, the changes will sync to the shuffle automatically, whenever you connect the shuffle (or click the Sync button).