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Late reply, but for anyone reading this: If you accidentally abort setup, or if Shelter can't show notifications (make sure you enable notifications before launching it), then it will only half load a work profile.
You need to find the work profile in Android Settings and delete it. For me on android 16, it was under the part called Passkeys, etc. (On older Android versions it was under Accounts).
Delete that and then re-run Shelter (perhaps after clearing storage for Shelter so it can totally start over).