In simple terms, the "Bevel" represents a beveled outline to create beveled boxes, frames, or lines. The bevel can appear raised or lowered. A "Shape" is a graphic object.
You may customize the Bevel control using the "Bevel Style" and "Bevel Shape" properties. Bevel Style can be either Raised or Lowered. Bevel Shape may be used as Box, Frame, Top Line, Bottom Line, Left Line, Right Line, or Spacer.
The Shape control represents a geometric shape that can be drawn on a form. You can add a Shape object to a form to draw a simple geometric shape on the form. Shape introduces properties to describe the pen used to outline the shape and the brush used to fill it. You may further customize the Shape object using the Shape Style properties, such as Rectangle, Square, Radius Edge Rectangle, Radius Edge Square, Ellipse, or Circle. The Shape object can also be enhanced using the Border Color and Border Style, such as Solid, Dash, Dot, Dash-Dot, Dash-Dot-Dot,
The best way to understand the visual difference is to place both objects side by side and play with the exposed object properties of each control.