The shell controls (as well as all other controls) do not automatically pick up the language used by the operating system. However, with respect to the Shell Controls there are translated resource strings that are available for the various strings used by the shell dialogs. The RzShellConsts.pas file has the details. Basically, you set an appropriate conditional define and then recompile the code. This will result in the resource strings being updated to the desired language.
For all other controls in the library that display some text, there are properties available that allow you to customize that text into your desired language. For example, the TRzDialogButtons composite control has properties to change the captions of the OK, Cancel, and Help buttons that are displayed by the control.