Shake well is an instruction commonly included on food products with liquid ingredients that easily separate into distinct layers based on ingredient density. Consuming the product without shaking is usually not harmful but will result in dispensing only one part of the total ingredient mix, which may result in unusual flavors or food texture.
Homogenized milk is one of the few natural food products which would normally separate into layers, but the fats have been broken up into smaller sizes that form an emulsion that will not separate, hence the lack of a need to shake well.