In a bathroom, most fixtures do not need hammer arrestors at all. Now, some shower valves specify them in the installation instructions, and if your valve does, then you should install them. You get the 'hammer' effect when quickly shutting water off, the inertia of the moving water then pushes the pipe and it bangs into something making noise. On most typical valves used in a bathroom, you usually can't turn them off fast enough to require a hammer arrestor. Some toilet flush valves shut off quickly, and one there might help, depending on the toilet you choose. Most don't need one.
You do not require individual shutoffs for any of the lines, and especially on a shower, most plumbers would not look for one. If you want to put some in, fine, but it isn't required. You'd normally install one for the toilet and the vanity, though. While you can use a compression shutoff valve directly on pex if you get one with the internal reinforcment ring, it's better to stub it out to copper and anchor it in the wall so it has some regidity and you aren't flexing it when trying to open or close the valve.
If the shower is also a tub, keep in mind you should NOT use pex on the outlet side of the valve, at least to the tub spout. If you do, you WILL have problems...it needs to be full bore ID of metal...pex's ID is quite a bit smaller than copper or brass.