I've played shaco for a number of games and I only had a problem with his ult before I learned that you could control it with the ALT+click thing..before that I would typically left-click it then use right clicks but that sucked because I would lose control of it sometimes and send my real one to his death :P.
As of now, I don't seem to experience the same problems you do. Okay, early game you only use it to kill a couple of creeps, maybe damage a hero, or be the target of some CC spells that will buy your real one some time. But late game, when it only takes 35% increased damage compared to your hero it works wonders. It slows, it puts stacks of black cleaver or whatever item u got, it takes just a little more damage than the real one so in the middle of a fight people tend to get confused and hit that instead of you. Hell, I even played a game when I was fighting trynd and because he got 2 crits on the real one and got my health real low (my decieve was on CD so I didn't try to run), he thought it was the clone so he started hitting the clone instead. Outcome? he killed the clone right when his ulti ended and died from it while I left with 1 hit to die...
I always go trinity force, black cleaver and bloodthirster with this guy, it gives him enough health, and great damage and atk speed, even though I feel something is missing..