Shen rushing Spirit Visage is what's dumb. To do that, he's giving up something that he likes, Sunfire Cape, for the ability to not take damage from you. As such, don't trade because it won't stick. The other thing is that, at any stage in the game, you shouldn't be the one killing him. The ADC should. Him rushing magic resist, and probably stacking more MR after that, means that your ADC's damage isn't being blocked as easily, making it outright stupid for him to ult bot lane because he'll just die and making his mid and late game a lot harder for him. Without armor, an ADC just shreds right through him.
The other thing is that Void Staff isn't really necessary to shred through it. Abyssal Scepter could be a good idea, especially if the enemy team has a lot of magic damage. It'll reduce his flat magic resistance if he's within a range, which he always will be, and why rush damage if you're not gonna deal damage with it?
The other thing is that Kennen just doesn't have very much early damage. Shen would have 39.6 base MR (assuming he is level 6) + 80 magic resist from his items = 119.6 MR. This would translate into somewhere along the lines of 40-45% damage reduction (I think). Not to mention that Sorcerer's Shoes cut through 15 of that, so his effective magic resistance would be 104.6 or around 37-42% damage reduction (I think). Kennen just doesn't deal that much damage because his ultimate and passive together are so powerful in teamfights, even without that much damage. Shen has more natural damage than Kennen while being allowed to be tankier because all of his damage is melee and single target, where all of Kennen's is ranged and AoE. Kennen as a champion isn't very good in a 1v1 scenario. He shines when the enemy team is all grouped up and he can stun lock them forever while his team is dealing the damage for him. Pretty much, just learn the champion better and you'll be fine.
