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This is a feature, not a bug! In Python, . means a namespace, so we convert dots to underscores. This test should work.

sage: S = r.rnorm(10, mean = 5, sd = 3)
sage: S
 [1]  8.252611  7.721551  5.291445  4.129569 -2.235594  1.466262  4.235228  7.557193  3.338087
[10] 10.203015
sage: r.shapiro_test(S)

    Shapiro-Wilk normality test

data:  sage8 
W = 0.9619, p-value = 0.8068

Seems ok.

sage: r_console()

R version 2.14.0 (2011-10-31)
Copyright (C) 2011 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
<snip>
> shapiro.test(rnorm(10, mean = 5, sd = 3))

    Shapiro-Wilk normality test

data:  rnorm(10, mean = 5, sd = 3) 
W = 0.9415, p-value = 0.5698