@luis-fontes 1) To have the shader loaded every time you start a game, after selecting and saving the shader you have to also save the retroarch settings. You can do It with the default retroarch config or per system (core).
For example, I use different video settings per system so I save a custom retroarch config for SNES, mame, megadrive, etc.
In the retroarch main menu go to "Configurations" then select "Save new configuration"; a file with the name of the core (e.g: mame078_libretro.cfg) will be created in ./recalbox/share/system/.config/retroarch/config (assuming you are using an sd card).
Next you have to edit the file "recalbox.conf" in ./recalbox/share/system pointing it to your new custom retroarch configuration that will apply only to that Core (system). E.g. for the Mame system, add the line: mame.configfile=/recalbox/share/system/.config/retroarch/config/mame078_libretro.cfg