Why does freezing vegetable shortening alter its appearance?

Fats can have a complex molecular structure:

Not only do elements have different properties, resulting in different behavior when exposed to heat or cold, but there are bonds between atoms that may be affected by these different neighboring reactions. Think of this somewhat like the way a frying pan heats up very easily, but the plastic handle of the pan behaves a bit differently; or, the way an ice pop is very cold coming out of the freezer, but the wooden stick isn't nearly as cold and warms up quickly.

These differences in the way temperature effects substances could've acted on the molecular structure of the fats, damaging or altering them as a result. This can result in changes to consistency, color, etc. This is very likely similar to the way damage can happen to certain foods due to the fact that water expands when frozen, while other substances tend to contract (which can result in strange, spongey, and otherwise undesirable changes in texture and taste).

It's fortunate that it seems not to have effected the taste or smell!

Just keep in mind that there are certain more desirable temperatures for foods, and they may not maintain their structure internally, their taste, color, or other qualities, if kept outside of that desirable temperature range for too long. While freezing does help to prevent bacterial growth and decay, it doesn't protect food from the changes which result from temperature change itself.