I use C4d all the time but have yet to render a file to Shake. I think the option was added to C4d in v9.5 (I'm running 9.6 here).
I give it a go and report back 🙂
Edit-
I just looked up the 9.5 Addendum PDF and came up with this:
'You can read more about what the “Compositing Project File” is good for in chapter 13 in your CINEMA 4D reference manual.' So I guess that's my next stop 🙂
And,
Just to show off a bit, here's a QT of my most recent project. A very, very limited amount of Shake work was done on it. In fact, I think AE, FCP and/or Motion would have handled the Shake part just as well. Anyway, here it is (2Mb, .h264):
http://www.jmtype.com/clips/CubeSpinDropMD.mov