What’s the best way to get around this? I’d like to start Scenes directly via my Mac with Shortcuts I have already on my iOS devices.
Siri Shortcuts are currently not available in the macOS app. However, I am currently looking into this and hope to have it available in a future update.
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Just came to this community from trying this in the Mac app and want to add that this would be amazing 
Still working on it, blocked by some other open issues. I will add it in the what’s new notes when it is available.
Version 4.3.0 of the macOS app will come with Siri Shortcuts support. This version is already available as beta version: Join the beta - Try new features before they are officially released