I agree with Chad Hansen that Zhuangzi was a complete skeptic when it comes to the idea that there is a metaphysical Dao. And it seems that Shenzi was not, but rather speculated that there is, and drew conclusions about how we might best live accordingly.
Zhuangzi's skepticism, however, is not a negation; he simply does not know, and proceeds accordingly. Shenzi's apparent belief in a metaphysical Dao, however, seems to arrive at the same conclusions about how best to live as does Zhuangzi. The reason for this, I think, is that though while Shenzi suggests a metaphysical Dao, he does not conclude that the best way to live is by some mystical union with this Dao. His Dao provides an example of how we might view the world — it embraces all things and makes no distinctions, and so might we. Thus, in the end, his use of Dao is to arrive at a psychological dao, similar to that of Zhuangzi.
Of Zhuangzi I think we can say that he too sometimes dabbles in speculation about a metaphysical Dao. However, though the idea of such a Dao similarly informs his formulation of a psychological dao, that dao does not require that there be a Dao; that would be to depend on something. These two inform each other, but both are never anything other than tentative and helpful aids to carefree, non-dependent living.
At this point it might be helpful to shake ourselves lose from too much intellection and seriousness. If Zhuangzi dabbles in speculation, it is because he's not interested in following rules — even his own. When not-knowing takes itself too seriously, it becomes what it intends to escape. Not-knowing can be as ever much an expression of rationalism as can knowing. This is the problem with calling Zhuangzi a skeptic; it implies that he has taken a rationalized position, and nothing could be further from the truth; he has taken up a position of flexible fuzziness — one he believes best expresses the life-experience. Perhaps more important to Zhuangzi than not-knowing is playfulness, and playfulness won't allow not-knowing to become some ridge principle to be applied and imposed upon the world.
Thus Shenzi's metaphysical Dao, if he posited one, and Zhuangzi's lack of one, are of no great consequence in terms of their conclusions because both proceed to formulate a psychological dao that requires no Dao.
You can check out Scott's writings on Zhuangzi here.