The shunt is used to measure the current to the load.
Power is the product of the voltage applied to a load and the current consumed by it.
The shunt is low value resistor that may only be a small fraction of an ohm (depending upon the load current). This example is designed for currents up to 100A and so the value of the shunt may be just 500 micro-ohms. At 100 Amps that would cause a voltage drop of 50 milli-volts.
It is desirable to avoid dropping too much voltage across the shunt because any voltage dropped doesn't get to the load. Also the power dissipated by the shunt maybe excessive. In this example with 50mV drop and 100A flowing the shunt resistor will dissipate 5 Watts.
It looks like this power meter expects the user to supply an external shunt, wired according to the diagram. It should say somewhere on the meter or in the manual what the maximum voltage is expected from the shunt. Something like 50mV would be common. The display is scaled to 100A when the maximum shunt voltage is presented. It is up to the user to calculate the required value of the shunt.
Note the '4-wire' connection to the shunt (also called 'Kelvin' connection) that is used to avoid the resistance of the connecting wires causing an error. The shunt resistor should have 4 terminals.
I haven't found a manual online but there is a YouTube vide explaining the connections Connecting the PZEM-051