To put it simply, a shader is how graphics, light, shadows etc is shown in a game world. Emulators can handle this in two ways, one is to render this every single time this is done and use valuable CPU/GPU resources or make a "cache" the first time a type of render is encountered. The obvious benefit is that you save ALOT of system resources that can be put to use elseware.
Why do some emulators like Cemu need it when the console does not? I had to google this one as I do not know how the wiiU hardware works, but apparently the wiiU DOES use shaders, the difference is that they come precompiled for that specific hardware, something that cannot be done on a PC given the fast that there are too many possible computer configurations out there.
As to why some emulators need it and some do not? My guess it that it really depends on how the original hardware works.