The UL certificate is required for each electrical device sold in North America. It is not mandatory for other countries.
Additional information about UL certification of Shelly devices can be found here – https://youtu.be/92b26PI6Z3c
UL and non-UL devices are functioning in the same way and are equally secure. The difference is in the components used for the production of those devices. The UL certification requires the usage of UL-certified components during production, which is also the reason for the price difference.