Have you activated sh404SEF®? When installation has been successfully completed, the component is not activated by default, as it is better you have a chance to review its basic settings before your site URL change.
Go the sh404SEF® control panel using the sh404SEF® entry in Joomla Component menu. There, click on the Configuration button (first left button). The first entry you will see on the configuration screen is:
Enabled ? (probably currently set to No)
Set this to Yes, and click on the Save button. You will be prompted to Erase the URL cache. Click on OK, and sh404SEF® should be activated now. You need to visit your site front-page, so that your new SEF URL are created. If your site is multiligual, you should read Multilingual sites.



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