Well i dont recall flying any other shivan ship sides the Terran Mara. From that i gather Shivan ships have a high missle capasity.
That with the fact they dont last long agienst Alpha 1, its pritty clear why they dont bother with support ships-- their just another free kill for Alpha 1.
But seriously, Shivans are...well, Shivans. They can blow everything over with their slightest whim. They probably dont care for the wellbeing of their fighters as much as GTVA does, because they have More pilots, and a bigger number of people\soldiers to get pilots from. GTVA is tiny compared to the shivans. Why send support ships? Tell your shivan boys to either get the job done, or dont come home (can anyone quote that shivan mission, it was non cannon, and a Muliplayer mission).
Where one shivan pilot dies, they have 5 more ready to replace him.