Resistance counters damage. That's the point of resistance. Damage has other priviledges, though.
- You deal more damage to turrets
- You deal more damage to minions and monsters (making farming and pushing easier)
- You deal more damage to other champions
If shen has 300 MRes, fine. Just ignore him and use your spells on other enemies. If he only builds Magic resist, your AD teammates will still kill him easily. Lane swap can be a very good option if you notice the enemy counterbuilding you. Otherwise, it's often best to just push waves and ignore Shen himself. He does some poke damage, but not a lot. He might kill you if you let him fight you long enough, but you'll never kill him. So don't bother. Just push the wave and gank another lane and/or try to force objectives (turrets/drake/enemy jungle camps) elsewhere.
Look at it this way. By building magic damage on a mage, you deal more damage vs 5 enemy champions (+ minions, monsters, turrets)
By building Magic resist you reduce the damage only from enemy magic damage dealers. If you have 5 Magic damage dealers in your team, your comp sucks. Usually you'll have between 1 and 3. It makes sense that Magic resist has to be more efficient than AP in a 1v1 situation to make it viable in a 5v5 situation. Tanks don't only need magic resist, but also armor. However, if they lane vs a mage, they'll often wait for this till lategame. Therefore, you need to avoid fighting these champs once they have stacked resistance against you.