Fundamentally, Shedim are worse than zombies. Zombies aren't malevolent, they're generally unthinking. The fear invoked by zombies is that they don't actually care; if they could be said to have a goal, it is to consume, to propagate. They take a person, hurt them, make the person one of them. To make you one of them, until all are them.
Shedim, like it is explicitly stated, don't care about that. The body is only a tool they use to get to their real goal; the destruction of all things living. Theirs is an emotionally fueled hatred. It's personal to them. Comparing them to Synths and clones is ludicrous; Synths might be used for infiltration, but how many of them just want freedom and rights?
Shedim exist as one of the few 'evil' things in Shadowrun (Blood Spirits might be up there too, and some forms of Shadow Spirits as well). Two or three things out of innumerable options. It is really hard to have shades of gray without some black and white to define it. You don't find that black and white in metahumanity or nature, generally. Shedim take up the slack, as that is what they are.
In the end, if you want your characters to constantly feel guilt and remorse... Don't use the Shedim. Their purpose isn't to make you feel remorse, just like you generally shouldn't feel remorse for squishing a Queen Bug. Their purpose is to evoke fear and terror, to thrash the PCs when possible, to try and possess the mage's body and cause havoc. If Shedim are in your game, you've got bigger things to worry about than crying over the body you just beat, slashed and stabbed until it could no longer attack you.
