I tested with and without any effects, Shotcut was always faster, but with effects the difference was more noticeable.
I just tested it again, using the latest versions of Kdenlive and Shotcut, plus an older version of Shotcut that I’ve used for a very long time without updating, because it was quite stable.
9 minute 30fps 4K clip, no effects, H264_NVENC, VBR 71% quality, parallel processing, GOP 15 frames, B frames 2, no additional parameters:
Kdenlive - 4:57, 156 Mb/s, CABAC 4/Ref frames
Shotcut - 4:41, 120Mb/s, CABAC 4/Ref frames
Old Shotcut - 3:41
, 146Mb/s, CABAC 2/Ref frames
CPU and GPU activity at 90%-100% on old Shotcut only, latest version is similar to Kdenlive (60-70%), unlike what I said in the original post. I guess I was thinking about the old version.
Now the same thing, but with 200% saturation effect applied to the whole clip:
Kdenlive - 13:05, 177 Mb/s
Shotcut - 11:20, 120Mb/s
Old Shotcut - 11:46 164Mb/s
CPU and GPU activity more or less similar in all programs, around 60-70%.
Despite the different bitrates, the 3 versions look identical to me, only when zooming in 500% I can see some tiny differences between the exported clips.
How the hell does Shotcut keep the same bitrate after applying the saturation effect?

Also, 177 to 120Mb/s is a huge difference between Kdenlive and Shotcut. I wonder what parameters/presets they are using…
Anyway, it’s not that important that rendering on Kdenlive is a bit slower. I used Shotcut for several years, I’ve nothing negative to say about it, but Kdenlive is better in many ways, so I’m here for the long term. 
It’s great to know that GPU effects are on the roadmap.