Generally speaking, it is always best to have traffic shaping rules, to ensure the important traffic to you is shaped or the bandwidth you need is available.
Traffic shaping works by device type, so let's suppose you applied Traffic Shaping to prioritise audio and video at the MR level, then only the MR will prioritise that traffic, once it makes it onto the next hop such as an MS or MX it will be treated as best effort, just like every other traffic type, but if you apply Traffic Shaping in the MS or MX now that traffic will also get treated with priority over everything else.
Keep in mind that once traffic leaves out the WAN, it's always treated as best effort unless you have some QoS service agreement with your ISP.