It appears that Shelly power meter is inaccurate only when the load is turned on/off by the same Shelly device (1PM or 2.5).
I've performed yet another test with the third actor: Shelly 1.
The wiring is: power outlet -> shelly 2.5 -> shelly 1PM -> shelly 1 -> 70 W halogen lamp. Shellies connected one after another so the lamp lit up only when all shellies turned on.
Test case 1, turn on the lamp by Shelly1 for ~10 seconds: power consumption measured by shelly 2.5: 10 Watt*minute, shelly 1PM: 16 Watt*minute (let assume it as pretty accurate).
Test case 2, turn on the lamp by Shelly 1PM for ~10 seconds: power consumption measured by shelly 2.5: 11 Watt*minute, shelly 1PM: 66 Watt*minute.
Test case 3, turn on the lamp by Shelly 2.5 for ~10 seconds: power consumption measured by shelly 2.5: 48 Watt*minute.