I use WAU with the attitude of "no externals" and there is the required Shared Media not loaded.
You use WAU with "no externals" enablesd and it doesn't pull SharedMedia?
SharedMedia is the "addon" that holds various new textures, fonts and the likes. If you mean the library, that's SharedMediaLib OR LibSharedMedia. Just grab them manually from WAU if it's the libraries you're talking about.
manually download the SharedMedia-1.0 is not sense of the matter, it should actually automatically make WAU
Actually it should not.
SharedMedia-1.0 is the media, SharedMediaLib and LibSharedMedia should be, however if you do not tell us WHICH addon didn't pull it, we can't help. It's nothing with WAU, it depends on the settings in the addons themselves (the author needs to use externals correctly in the svn)