Why? Already in the England setup, going to the World Cup, have an offer both financially and footballing-wise better than what you have. It's a no-brainer. He'll start for Man Utd under a new manager with better players than he was playing with at Southampton and he'll be paid 5-10 times more than he's currently being paid.
The system is broken but it doesn't mean players like Shaw should be martyrs, doing things the way die hard fans want things done. Change the system and things will happen naturally, but the forces in football right now make these moves inevitable.