I think that shelters are sometimes a bit optimistic with their descriptions of a cat's character. With shy cats, you never really know what you're getting until you get them home and give them a chance to decompress and open up. The shelter can be an alarming experience for them, with all those other animals making noise, and strangers parading past poking their fingers in the cages. In my local shelter there is no privacy in the cages either, which goes against the grain for many cats.
How long have you had him? My cat was under the bed for a whole month, and has progressed slowly but surely. When I introduced a kitten to the mix, she protested by peeing on the sofa, but the passage of time cured that, as well as a few changes in the arrangement of litter boxes, feeding area etc. I also purchased a Feliway plug-in diffuser which fills the room with cat pheromones, and has really helped calm her down.
The fact that he enjoys the company of your other cat is a very good sign. It's great to see cats playing with each other. Mine play at night, so I wake up to the sound of thumping, running, meowing, and toys jingling etc every morning!