The MultiGeoRasterLayer can works is because for raster layer, you don't need to set style for each file, just need to add it into map. But for vector layer, you have to set style for different types data, for example, some data is area, the other is line and the rest is point style.
So if you want to load a group of vector shape file, you have to know what's the style of them should be.
If you know all the files use the same style, for example, all points want to be rendered like a same circle, so you can write a custom function which works like MultiGeoRasterLayer.
It's simple and the logic like this:
1. Get the file folder, pick all files which is .shp
2. Build index with parameter DoNotRebuild
3. Set DefaultAreaStyle, DefaultLineStyle and DefaultPointStyle for each layer, and apply the style from zoomlevel 01 to zoomlevel 20
4. Add the layer to your overlay
5. Expand current extent for showing the new layer
Then you can load many files by the simple function and render them.
Open cache can make render speed up.