This is not the shortcode, this is WordPress/ClassicPress messing with me.
I am not sure if it happens by default or if it is wp_kses that does this garbage but of course I did not code a ShortCode to produce a List that separates lists with paragraphs.
Unfortunately, nothing I can do about it right now.
Why the shortcode is visible, I already explained in the other ticket, and it will stay like that until we have a summary for that page, and/or I have server access, to actually develop a full fledged custom SEO system that does not take the excerpt, or passes it thru do_shortcode at least. But I think we sill just solve this by adding the page summary.
I will keep this thing here open for the P tag issue, I hope I can find some sort of solution to this, but I fear not, at least, not fast. It is after all a very, very annoying core issue, which as said, I believe is due to wp_kses (which I use to clean the output).
Will see what I can do, added this to Reminders for new cp doc