I'm pretty certain it does; spell vamp procs on all ability damage, including physical and true damage. Even Smite procs spell vamp, if you happen to have any, which is why it's helpful to have Olaf's or Lee Sin's W active when you smite. Even the wiki seems to confirm this, for Olaf at least. Hitting W before E helps reduce the health cost, which helps him sustain even harder.
Shen'd pretty hard.