I noticed in the latest revision this being "fixed".
Shelve changes to project dir http://youtrack.jetbrains.com/issue/IDEA-113222.
I regularly cleanup my local working copy using a script that deletes all unversioned or ignored files.
This deleted my shelf without me realising it.
I could modify the script but I would rather have the option of chosing where to keep the shelf.
Can you add an option to move it back to the profile directory so that both camps are happy please.