Assign construction to shadow surface

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Typically shading surfaces do not have a construction assembly assigned directly to them. The one exception is if a shading surface is used as part of a light shelf, where EnergyPlus has an input field for the construction assembly of the shade portion outside of the building to capture reflectance properties.

However, there is a related object that sets reflectance properties of individual shading surfaces -- ShadingProperty:Reflectance. After setting the name of the shading surface, you can also set diffuse solar and visible reflectance, as well as how much of the surface is glazing and the related glazing construction assembly. In addition to reflectance, you can also apply a transmittance schedule to the shading surface IF you use one of the detailed shading objects (other shading objects assume no transmittance).

You are correct that OpenStudio allows you to assign a construction assembly to a shading surface. When it translates that to the EnergyPlus input file, it uses the ShadingProperty:Reflectance object based upon the shading construction that you assigned. For example, if you assigned a "Metal Shade" material with solar and visible absorptance of 0.6 (solar and visible reflectance of 0.4) as the only layer in your shading construction, then OpenStudio creates a ShadingProperty:Reflectance object with the same reflectance values of 0.4. See an example below where I assigned a "Metal Shade" layer twice to make a "Metal Shade" construction. I assigned that to all shading surfaces in the model, but the name "Metal Shade" isn't referenced by them.

Material,
  Metal Shade,                            !- Name
  MediumSmooth,                           !- Roughness
  0.0254,                                 !- Thickness {m}
  45.006,                                 !- Conductivity {W/m-K}
  7680,                                   !- Density {kg/m3}
  418.4,                                  !- Specific Heat {J/kg-K}
  0.9,                                    !- Thermal Absorptance
  0.6,                                    !- Solar Absorptance 
! - Solar Reflectance = 0.4    
  0.6;                                    !- Visible Absorptance 
!- Visible Reflectance = 0.4

Construction,
  Metal Shade,                            !- Name
  Metal Shade,                            !- Layer 1
  Metal Shade;                            !- Layer 2

Shading:Building:Detailed,
  0m East Shade,                          !- Name
  ,                                       !- Transmittance Schedule Name
  ,                                       !- Number of Vertices
  69.5343520176372, 7.75057708684161, 2.7, !- X,Y,Z Vertex 1 {m}
  69.5343520176372, 55.7005770868416, 2.7, !- X,Y,Z Vertex 2 {m}
  68.8643520176371, 55.7005770868416, 2.7, !- X,Y,Z Vertex 3 {m}
  68.8643520176372, 7.75057708684161, 2.7; !- X,Y,Z Vertex 4 {m}

ShadingProperty:Reflectance,
  0m East Shade,         !- Shading Surface Name
  0.4,                   !- Diffuse Solar Reflectance of Unglazed Part of Shading Surface 
! - Same Solar reflectance as "Metal Shade" material layer above
  0.4,                   !- Diffuse Visible Reflectance of Unglazed Part of Shading Surface
! - Same Visible reflectance as "Metal Shade" material layer above
  0;                      !- Fraction of Shading Surface That Is Glazed