OK, I figured it out. I realized before posting that some entities were disabled by the integration for the device. Actually, you can enable them manually (my interface is in French, so I'll try to translate the steps to follow). First, go to the “settings” tab on the left, then, click on “devices and services”. There, you should have your various integrations (including the Shelly ones). Click on your Shelly device, then on “1 device”. Now, you should see a list of sensors, you can click on the one you want to activate, then on the little gear, then on the “advanced settings” which allows you to enable the sensor entity.
In fact, the following issue on GitHub helped me: https://github.com/home-assistant/core/issues/51704