To see how a window shade will affect the zone load, I modified the EnergyPlus Example Exercise1D to add a drape to the two windows. (and modified the lighting power for winter designday to 0).
When I compare the winter designday heating load for the bare window and draped window case. I found that the draped window case actually have higher heating load. See the attached picture.
While this seems somewhat counter intuitive, I tried to output all the surface temperature and convective heat transfer rate from EnergyPlus. From the results, what I can see is that for the bare window case, the convective heat transfer rate on all the surfaces added up to match the zone heating rate. But for the draped window case, the sum of all surface heat convective heat transfer rate is much lower than the zone heating load. Looking at the surface inside face temperature, I guess that the window surface temperature reported by EnergyPlus is the drape inside surface temperature. I am guessing that in calculating the zone heating load, EnergyPlus accounted for the drape outer surface and the bare window inner glass surface convection with the room air, but they are not reported in the surface convection heat transfer.