Messier personally presented the award to Shanahan on Tuesday. Every month Messier, with input from the NHL, will select players he feels best exemplify leadership skills on and off the ice.
"The NHL is fortunate to have so many players that embody all the attributes of great leadership," Messier said in a statement. "This award provides an opportunity for me to acknowledge the players who lead by example and bring out the best in others, both within their sport as well as in the community."
At season's end, one player will be named the Mark Messier Leader of the Year.
Many consider Messier to be among the greatest leaders in hockey history. The six-time Stanley Cup winner wore the C for Edmonton and the New York Rangers to become the only player in history to captain two teams to an NHL championship. He is also a former captain of the Vancouver Canucks.