If you make use of paragraph styles properly, clearing direct font formatting and/or direct paragraph formatting won't remove all of your formatting.
However, to remove only the shading, and nothing else, run the macro that I posted in an earlier reply:
Sub ClearAllShadingFromDoc()
'Macro created by Stefan Blom, MVP, January 2015
With ActiveDocument.Content.ParagraphFormat.Shading
.Texture = wdTextureNone
.ForegroundPatternColor = wdColorAutomatic
.BackgroundPatternColor = wdColorAutomatic
End With
With ActiveDocument.Content.Font.Shading
.Texture = wdTextureNone
.ForegroundPatternColor = wdColorAutomatic
.BackgroundPatternColor = wdColorAutomatic
End With
End Sub
For assistance, see http://www.gmayor.com/installing_macro.htm.