What do I build for Shen SUPPORT?

Same things you build on any tank support...

Like usual, depends on your play style and your opponents. Here's a couple of links.

https://www.mobafire.com/league-of-legends/build/shensei-ultimate-guides-s9-526198

https://www.mobafire.com/league-of-legends/build/sanuns-diamond-shen-guide-top-amp-support-544268

For me personally,

Runes: Primary (Resolve)= Grasp The Undying- Shield Bash- Conditioning- Overgrowth

Secondary (Inspiration)= Future's Market- Cosmic Insight

Items (Not in exact order every game): Remnant of the Aspect -- Knight's Vow -- Mercury's Treads -- Peering Farsight Ward

Hard to tell you what a full build would look like since every game is going to be different. If the enemy team is mainly magic base, your're looking at magic resistance items. If you notice one of the enemy champions are carrying their team, build against him/her. The links I posted above should help a bit. Just make sure you click on the number tab or support tabs under neath "Choose Champion Build."

Good Luck