FYI for anyone who finds this thread:
I installed the shield on a Raspberry Pi 3 and used --my-leds-rx-pin=15 --my-rf24-ce-pin=12 config parameters. The network seems to work and the red LED is blinking. I have not verified whether the LED blinks when MySensors daemon receives a message, but I would assume it does and does not just blink randomly.
All in all this shield seems like quite a nice way to install the NRF24 radio to a Raspberry Pi, so I would highly recommend it over Dupont cables.