Is it correct that the SC503 shunt is not connected to the splitter, with a data cable?

Not correct. It has to communicate with the Pico over the Sicom communication bus.

It is not necessary that the SC503 is directly connected to the splitter but it has to be connected with the communication cable Sicom in a daisy chain with another device.

In daisy chain connection one device has to be connected to the splitter. All devices send and receive data to or from Pico over the SiCOM hub.

The overall length of the daisy chain cabling has to be less than 32m.

Just for an example is attached the simple wiring diagram for Pico Blue package. Green lines are SiCOM communication cables.