Beats me -- depends what the circuit is, what's on the other side of it.
But regardless of that, I can express what possible concerns I would expect, and what alternatives I would consider:
- Ampacity. Is the header and shunt rated for enough current? (Typically 2-3A each, less when many are used together -- mutual heating is a problem.)
- Reliability. Connections come loose, become flaky, etc. over time. Would there be any consequence of failure here? (Including momentary connections causing hot-plugging transients → you need to know the PDN characteristics.)
- Stray inductance. Would the, say, 5-10nH of the jumper cause any issues for supply quality / PDN?
You'll have to decide which of these are applicable to your case.
For design test, even just putting in a visible (surface) trace might suffice, and I can cut that for test, then leave it alone in production, assuming that no board rev is required (i.e., none at all, or only component changes). Scraping off soldermask and jumpering it back together allows using the board for further prototype testing.
Alternately, a zero-ohm jumper can be used, a chip component that can be desoldered for test, and left in place otherwise. It might be a zero-ohm jumper resistor, particularly for low currents, or a solid metal jumper for high currents. This might even be a standard component, say a small-value inductor when you need additional filtering but you just remove it for testing the regulator, and don't care about ripple during the test.