Any particular shunt resistor that you have in mind? You are correct that the lamp brightness would remain the same whilst in the regulated zone. I was more thinking of operation outside that region - eg in a short condition. Having a lamp as the series resistor would reduce the fault current compared to using a fixed resistor.
Not sure what you you mean by “fewer choices of resistance”. The lamp would be the series resistor - other than that, what resistor did you have in mind?