The owner of the bakery where I took cake decorating classes 15 years ago used a margarine and shortening combo for their icing. From what I've heard, the Land O Lakes margarine is supposed to be decent. I will probably never try it, though.
I think for some, using shortening serves a few purposes:
a) it cuts down on the cost of the recipe
b) it cuts down on the "buttery" flavor of buttercream (lol)
c) it can stabilize the icing so it won't melt down in summer...