After Pakistan batted for 167 overs in compiling 418-5 declared, the Black Caps were rolled for 90 and then 312 following on as Shah claimed the best match figures ever recorded against New Zealand, taking 14-84.
Black Caps batting coach Craig McMillan says Shah's performance was one of the best displays he had ever seen.
"The drop and the drift he was able to generate in that first innings was as good as I've seen.
"You have to be so precise and clear with your batting plan, especially against Shah. He's going to test you early on, so your defence has to be so spot-on, because if you make a mistake, it's going to be vital."
The Black Caps fared much better in their second innings, and opener Tom Latham, who chipped in with 50 in the second dig, says they need to build on that innings to have a hope of a series victory.
"I think the last innings was really important for us — if we can take that into the last test. We've seen it there in different periods, we just haven't really put it all together as a batting group. Unfortunately, there was that 45 minutes of madness where we managed to lose the test.
"If we can put the pieces of the puzzle together in each department, then we'll hopefully give ourselves a chance of winning the decider."
With the Black Caps having a long tail order, McMillan knows the established batsmen need to stand up and combat Shah and company on the Abu Dhabi wicket.
"We saw some improvement in the second innings from [Ross] Taylor, [Henry] Nicholls and Latham, who batted for a long time out there and showed what was possible.
"The guys are learning, but we need to learn a bit quicker and we need to get it right."