Yeah Wonder Guard only blocks moves that do direct damage.
Anything from a status condition or leech seed etc saps indirect damage so that will work. I'm not sure if it will prevent struggle from the other pokemon, but if Shedinja runs out of PP then it will lose its 1 HP from struggle, it kinda works like the status moves in that case.
It will block Mirror Coat and Counter because those moves don't really have a proper type - the damage done is always twice what you take regardless of whether it would be super-effective or not. That means it can never be super-effective against Shedinja.