Converting vector layer to shape when the vector layer contains a gradient is not supported. Gradients will come in as a gray fill. If you have more than one fill on a layer you will get both fills but you will loose the blend modes or any opacity masks on the fill. Basically you're stuck with solid color fills and solid color paths when you use Shape to Vector Layer.
Also, each illustrator path you want to turn into a shape must be on a separate layer. Multiple shapes on in the same layer will come in as a shape layer but the paths and fills will not be correct. AE will do it's best to figure out what you want but the chances for multiple paths filled with different colors in the same layer to be converted correctly is remote.
You can, however, add and modify as many gradient fills as you like to a shape layer in AE.