Actually, in all of my 5 games so far, Shaman were available at the Orc embassy, so maybe I was just lucky? Though I think it's more likely that it's just scripted somehow that there should be a high probability of shaman appearing there as a sold unit.
Also, shaman were available in my last game in the tavern in Arlania, the one where you get the dragon's tooth quest. Granted, there were only two for sale.
