Thanks for writing!
How different do you think it will be in size and shape after blocking? If it needs heavy blocking, I’d definitely block first so you don’t have problems with the embroidery constricting the shawl. Also, if you’re going to use embroidery floss, perle cotton, or some other non-stretchy material to do the embroidery, I’d block first even if it’s somewhat close to its final shape and size. If it just needs minor blocking and you’re using more wool to do the embroidery, you can probably embroider first. Unfortunately you may need to block again after embroidering either way, but better to be safe and not have to pull out any of your work!