As they had on Thursday, England's run chase was hampered by the regular loss of wickets, but this time their target was not so challenging and they found enough contributions to see them home.
It was Shah, though, who stood out. Called into the one-day squad after England's disappointing World Cup, he showed great composure and a willingness to improvise in a perfectly timed innings.
Others were less impressive. Alastair Cook, who always seemed a surprising selection for this length of the game, failed for the second successive match, bowled middle-stump by Daren Powell, who was steaming in far faster than he had in the Test series.
Matt Prior, who enjoyed a successful Test series against the West Indies, though, set about the bowling with gusto, despite taking a blow on the left wrist from a Powell bouncer.
He smashed two sumptuous fours off Ravi Rampaul's second over before he too was bowled, playing all round a straight delivery to fall for 22 off 14 balls.
Jonathan Trott followed in Rampaul's next over, caught off the glove by wicketkeeper Denesh Ramdin as he attempted to pull, and Kevin Pietersen, who had got off the mark with a bludgeoning shot through the covers for four, almost followed next ball.
His edge, though, just eluded the diving Dwayne Bravo at slip.
With England 43-3, it was left to captain Collingwood once again to steady the ship. He exuded authority immediately, and struck a majestic pull for four off Ramdin.
That seemed to jab Pietersen into laction, and he hammered two leg-side fours from successive balls in Powell's next over - neither entirely cleanly hit - before being fortunate to get away with an inside edge as Ramdin grounded an enormously difficult chance.
His skittish innings eventually came to an end in the ninth over, as he mistimed a forcing shot on the offside and chipped a return catch to Darren Sammy.
Collingwood managed one six over midwicket, but he fell just as he threatened to cut loose, stumped by Denesh Ramdin after missing a quicker one from Marlon Samuels.
At that stage the game seemed to be slipping away from England, as West Indies skipper Chris Gayle acknowledged.
"I thought we were in control," he said. "But credit to them. They capitalised on our errors."
Shah took 16 from Samuels's next over to tip the game back England's way. Another 16 - helped by five wides - followed of the following over, bowled by Dwayne Smith and England suddenly needed just 24 off the final three overs.
They got them in anti-climactic style with five wides to win with three balls to spare.
"It's a great feeling," Collingwood said after leading England to his first victory as captain. "I'm just very proud of the boys and the effort they put in.
"We learnt a lot from last (Thursday) night. We spoke a lot about that, and we went out there and did it.
"There were lot of good things about last (Thursday) night. To get that close to a massive total was a great effort. It shows we're fighters.
"We spoke about how we could improve the bowling and the fielding. We chose when to use slower balls better and everything went right."
Gayle (61) and Marlon Samuels (42) had top-scored for West Indies, but England's bowling and fielding was much tighter than it had been in Thursday's opening game as they restricted their opponents to 169-7, 39 fewer than they had made the previous day.
West Indies were hampered by a knee injury to Shivnarine Chanderpaul and a thigh strain to Devon Smith.
The two had made 102 runs between them in the first game, a contribution that always looked beyond their replacements, Lendl Simmons and Austin Richards.
In the end the two made just 19 between them and, even worse, took 27 balls about doing so.
Ryan Sidebottom ended with the best figures, taking two wickets while restricting West Indies to just 25 runs from his four overs, while Paul Collingwood, although a touch expensive, picked up the two key wickets, dismissing both Gayle and Samuel with clever variations of pace.