Yeah, people speed on Shady, but the road is wide and shareable. I generally prefer Shady to S Highland. The only other options I can see involve Negley, Murray Hill Ave, or cutting through Chatham. Negley is narrower than Shady and the hill is unnerving or brutal depending on which way you're going. The other two options leave you doing something difficult on Fifth Avenue. Personally, I would use Shady, being very careful at Wilkins. If you want to avoid some of the trickier part of Shady in Squirrel Hill, ride down Deniston to Hastings (again, being careful crossing Wilkins), and then left on Hastings and right onto Shady.
I'm guessing the person who suggested you do otherwise didn't actually have any constructive suggestions...