This happens on all my CMS guests on my z/VM 7.20 system, running on a z14. I have tried REIPLing but that hasn't fixed the problem.
The 'Shared S-STAT not available' or 'Shared Y-STAT not available' messages appear at logon when either the 190 S-disk or 19E Y-disk respectively were changed after the CMS NSS was last saved. You just need to rebuild the CMS NSS to make these go away.
To rebuild the CMS NSS:
Logon to the MAINTrvm service ID for your release. Ex: For z/VM 7.20: MAINT720.
Issue PUT2PROD SAVECMS