Sending shipping notifications in messenger helps you relieve customer anxiety after their purchase. It is sent to customers after an order is marked as fulfilled in your merchant dashboard to notify them that their order has been shipped.
The shipping notification informs the customer that the order has been fulfilled at your end and contains a tracking link along with the products that have been purchased.

Go to auto-campaigns in the sidebar and select buyer from the customer journey stages. From here select shipping notification campaign.
Now in the editor you can edit the messages, change the images, change the timing, add a discount code and once you're done, click on save and turn on the campaign. 

The shipping notification is sent whenever you mark an order as fulfilled in your Shopify dashboard.

A visitor who has purchased a product and opted in to messenger using order updates checkbox will receive the message. 

After setting up the campaign, open up your store URL in an incognito window, opt-in to messenger using any of the opt-in tools on your website and place a test order. Now you should mark the order as fulfilled and you'll be able to see the shipping notification in messenger.