The shunt is called an 'anti fuse' it is simply a short length of wire wrapped a few times around the filament support legs. The wire has a very thin layer of insulation that is able to withstand 12V so nothing happens when the filament is lit. When the filament blows 240V appears across the legs, the thin insulation breaks down which then causes the support legs to be bridged, completing the circuit again. Clever but as mentioned above will over drive the other lamps in the string.
Nothing wrong with old filament xmas lights as long as the cables are in good condition! The nicest sets I have here are all mains powered filament, though I haven't decorated for Christmas in a few years, too much other stuff to do.