I’m new to Rhino and so not sure if this is a feature or not but just in case. When I select Render -> Shade the model is rendered with shading but it does not persist, i.e. as soon as i do something else it reverts to wireframe.
use the View menu -> Shaded.
or right-click in blank space of a viewport (with nothing selected) and choose Shaded there.
the _Shade command (Render->Shade) is something different