You're technically supposed to shuffle here, yes. Many players will take a shortcut by either playing Hoopa-EX directly onto the Bench from the Ultra Ball, announcing Scoundrel Ring, and then searching for the three Pokemon. I don't know of any judges that would have a problem with this.
In a broader sense, if players are using several search/shuffle cards in a row (i.e. Compressor, Ultra Ball, Compressor), they'll often just set the deck down and let their opponent know "I'm going back in" without shuffling. This is also fine - it's very common among experienced players.
What you do have to be careful of is taking too many shortcuts and being unclear in your actions. If you're doing something like this, move at a speed your opponent can follow and verbally announce your intentions so there aren't misunderstandings. Don't silently place Hoopa-EX on the table (playing it), search for a Shaymin, place it on the table (without playing it), then pick it up and do other stuff before using Set Up.
I've run into players who have a "persona" of never talking during games and they end up in shady territory when it comes to intended vs actual actions with a reputation of trying to cheat. You don't want to be that player.
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