I vacuum / blow dry mine from foals to adults using the large Electro-groom. I have never had a problem with any horse freaking out/pulling over the noise, sensation, or blowing air. With clippers and vacuums though I don't act like it is a big scary thing they have to get used to. I just expect them to mind their manners at all times and any horse stepping out of line is firmly corrected.
As for using a shop vac, I have used the 2-3 horse power smaller ones before I purchased the electro groom. You have to be careful which attachment you use because the animal vacuums have special notches on the nozzle to avoid pinching the skin. Look for a drapery-like attachment to help with that issue.
Edited to Add:
The results with the shop vacs are the same for dirt removal, but the animal vacuum seems to help more with actual coat shine overall "glow". As for noise, the shop vac is slightly louder.