I'll just add one angle to your list that hasn't been done a lot in fiction: paranoia, with the possibility of widespread, culture-altering degrees of paranoia if this is a universe that has any significant number of animal shapeshifters rather than just the one.
On the most basic level, if I found out someone I knew well could turn into, say, a spider or a flea, I would have difficulty coping with this information. Philosophically, I'd be moving from a world where I feel reasonably secure that it's possible to keep some things private to one where <PERSON> could be a spider on the ceiling watching me have sex without me knowing and with zero consequences. Ew.
Some people would take this knowledge better than others. Imagine, for example, <PERSON> was a guy in your high school. 494
Sooner or later, everyone's going to think of the spider-sex scenario and apply it to all of their secrets and all of the gross things humans prefer to do without an audience. In even that small group of people loosely connected to <PERSON>, some people are going to have a pretty rosy view of humanity and think it's okay, some people will be realists and think about whether or not <PERSON> has motivation to spy on them specifically out of all the people he might be spying on, and some will, in all likelihood, be inclined to paranoia anyway. Some people will try to put <PERSON> out of their mind, and others will worry about the possibility of him watching every second of the day until they melt down.
All this would happen even if <PERSON> was the best guy in the world and would never think of spying on anyone. <PERSON> would be pretty lucky if nobody tried to murder him just to be able to believe in privacy again.
If anything, I might think someone in a very close relationship with your shapeshifter might take all this better, in the same way that you get used to compromising privacy when you're living with someone you for the most part like. People who know <PERSON> peripherally would probably go the most crazy thinking about it, because they don't really know what <PERSON> is thinking about them.
Lastly, inevitably, I would think at least someone would start developing religious thoughts about <PERSON>, because frankly, if <PERSON> could be watching you at any time, a sufficiently paranoid mind would start considering, as a matter of course, the possibility that <PERSON> was watching any time they did anything shameful or gross, and from there it's a hop, skip, and a jump to the theological. 494