What do you expect from satellite raster imagery? Shapefile vectors?

LMGTFY: https://github.com/sentinel-hub/sentinelhub-py says: “The sentinelhub Python package allows users to make OGC (WMS and WCS) web requests”. And WMS and WCS formats are images like JPEG, GIF, PNG, GeoTiff.

In any case: Shapefiles are outdated (see why http://switchfromshapefile.org/ ). So prefer e.g. Geopackage, which can contain both, vector and raster!

The script looks promising:https://gis.stackexchange.com/questions/268395/converting-raster-tif-to-point-shapefile-using-python

I’ll try it.