Everything will give you cancer, eventually. The more valuable question to ask is whether the risk of getting cancer from vegetable shortening is of importance in your life or not. For instance, if you are a stunt driver, you are far more likely to be killed in an accident or via a medical complication than to contract cancer through vegetable shortening. Even if you’re just a Regular Joe, if you are eating McDonald’s once a week, you are doing far worse harm to your body than by frying your chicken in veggie shortening. All in all, unless you are a complete do-gooder, the risk of damage from vegetable shortening is negligible.
In my opinion, the best thing to saute food in is butter. I don’t use margarine or shortening. I do use extra virgin olive oil and canola oil from time to time.