That connection is normal. Many shower valves give the option to either thread on a female fitting or you can put the copper pipe in the socket and solder. Personally, I like the solder connection and that I what I used on my shower.
How long ago was this done? It may be that the solder didn't get fully into the joint (joint not clean enough, not the right amount of flux, not enough solder, etc.). It should have been inspected for leaks at the time of install, but if the leak is very small, the leak may not have been detected.
If it was recent work, you could call the plumber back. If it has been that way for some time, you may need to get another plumber to fix it. If it is really old, it may be a good time to replace the valve and trim.