Hey there, sorry for the late reply! I don't check this forum or this thread that often or at all anymore, I only found your post by coincidence. (If anyone would like to draw my attention to questions like these, quoting my posts or sending me a PM will work much better, as GOG will alert me about it.)
Anyway, about your questions:
Once you have applied a design with UAShell, you don't need to run UAShell anymore until you want to apply another one. But you *can* keep running it through UAShell without causing harm, too. I usually do it this way, because I consider it a bit safer. How you can mess up things is if you've applied a design with UAShell and then switch designs in-game, without UAShell (IIRC, there's an option for that in the start menu - best leave it alone!).
The thing is, if you mess things up while running the design from UAShell, at best UAShell will store the changes in the design, but never in your default vanilla installation. That means once you apply a different design, the game should go back to normal. On the other hand, if you mess things up while running vanilla UA after applying a design with UAShell, the changes might get stored in your default vanilla installation, I think. UAShell always restores everything back to the vanilla installation before applying another hacked design, but it might mistake the new messed up vanilla installation for the default one and install the new design on top of it. In that case you might be better off to re-install the whole game and UAShell. So IMO it's safer to always use UAShell, just in case, even if it's not strictly necessary.
And UAShell will automatically restore the default installation for you before it applies a new design, so you can quickly switch between designs just by "applying" them, no need for manual restores.