Well, my mind-reading superpower is not working today, so I have to ask the (perhaps) obvious questions to know what you mean by "ALL"? 🙂
When you press and hold the VoiceOver button on the shuffle, do you hear it saying the playlist menu? What does it say, if anything?
You may have loaded the shuffle from one or more playlists, but are the playlists themselves on the shuffle?
First, if you are using the latest iTunes, the sidebar may be hidden. If so, go up to the menu bar, and under View, select Show Sidebar. This will make it easier for me. You can change it back later, if you want.
In the sidebar, under DEVICES, select the shuffle. You should be able to "toggle down" the shuffle's content list, so that it appear indented under the iPod. It should say Music there, and if the playlists are on the shuffle, they should appear there as well. Do you see the expected playlists under the shuffle in the sidebar?