But when it comes to strengthening his team enough to be a serious contender in chasing another Cup, no price is too high.
"With the makeup of a young team, having a healthy (Evgeni) Malkin and (Sidney) Crosby -- which we haven't had in a couple years here -- and we're getting good goaltending right now," Shero said.
"We feel we have a nice good team and we're trying to do what we can to strengthen it -- and let them play."
Shero parted ways with top defense prospect Joe Morrow and a fifth-round NHL Draft pick for Brenden Morrow and a third-round pick from the Stars in a deal completed Sunday. Monday, he gave up a second-round selection in this year's draft and a provisional (second- or third-round) pick in the 2014 draft for Murray.
Riding a 12-game winning streak, looking every bit the legitimate Stanley Cup contender and blessed with some of something they haven't had an abundance of in recent years as the deadline approached -- salary-cap space -- the Penguins aggressively have hit the market. Shero struck more than a week in advance of the April 3 deadline, adding two veteran pieces that supply experience, toughness and intangibles.
"Analytics doesn't come into this to me," Shero said. "To me, you can't measure the heart, the character and the fit on the team you're looking for. It always plays itself out by the end of the year. We'll try to see if we made the right decision."
It was intangibles, in part, Shero was trying to add. It also was intangibles Penguins players have taken, so far, from Shero's actions -- before Morrow or Murray even entered the dressing room.
The message the players received from the organization giving up, in effect, a first-round pick and two second-round picks in exchange for two so-called "rental" players was clear.
The Penguins are "all-in" on winning now.
"The message is 'We want to win,'" said Crosby, the team's captain. "It's up to us as players to do our part, but the organization and management is giving us every opportunity to do that. As a player, that's all you can ask for -- and we'll definitely try to do our best."
Said right wing James Neal: "The front office wants to win here just like we want to win here. They're just doing as much as they can to give us the best team on the ice."
Coach Dan Bylsma pointed to Sunday's 2-1 overtime win against the Philadelphia Flyers as a perfect example of a game the 6-foot-3, 245-pound Murray will excel.
"I'm not sure you know exactly how strong Douglas Murray is for those of us in the Eastern Conference," Bylsma said. "He's big, strong and tough to play against down low. He clears the front of nets and makes it tough on the opposition and good players on the opposition."
Bylsma would not expound on whom he envisions pairing the left-handed Murray with, but the puck-moving and swift-skating Kris Letang would appear to be a good fit. That would allow Pittsburgh's "shut-down" pairing of Brooks Orpik and Paul Martin to stay intact and leave the incredibly deep Penguins with the ability to allow Matt Niskanen to stabilize the third pairing with either Deryk Engelland or rookie Simon Despres.
Veteran Mark Eaton (a winner in each of the 10 games he has dressed) and rookie Robert Bortuzzo also are on the roster. Pittsburgh moved Letang (lower body) to the injured reserve list Monday, a mostly procedural move because he is eligible to return when ready.
Also Monday, the Penguins reassigned forward Trevor Smith to Wilkes-Barre/Scranton of the American Hockey League. Still, room on the roster will need to be created when Malkin (upper-body injury) and Letang return to game action. Each practiced again Monday, and both are nearing readiness.
Shero did not tip his hand as to whom the odd men out will be other than to point out that rosters will be expanded after the trade deadline. Bortuzzo, for example, must clear waivers if sent to the AHL. Come April 3, Pittsburgh can keep extra players on its NHL roster.
Shero pointed to assets stockpiled on his blue line and in terms of draft picks in discussing the bounty he paid to acquire Morrow and, specifically, Murray. Shero indicated he had no reason to be patient in the trade market.
"We identified what we wanted to accomplish," the seventh-year general manager said. "It's supply-and-demand, [Economics] 101. In this case, it was demand-and-supply. The demand was greater than the supply. And if you identify that certain player and you're willing to pay the price -- I don't set the prices; you just decide if you're going to pay them.
"I believe what we gave up for Douglas Murray is the market for rental defensemen. It's what you pay, what the price has been over the past year -- a second and a third, a second and a second. (Sharks general manager) Doug Wilson knew what he wanted and knew what the market was. That's the type of deal we were looking for and what we were prepared to pay."
Shero preached similar sentiments less than 24 hours earlier when talking about Morrow, a former teammate of several in the Penguins' organization -- be it with the Stars or Team Canada. Crosby and goalie Marc-Andre Fleury were on the 2010 Olympic team that took home gold in Vancouver.
Formerly the captain of the Stars, Morrow said the Olympic experience is analogous to fitting in on team with a strong leader in Crosby.
"Knowing Sid and what drives him, I don't think he's happy with one Cup -- he wants to win numerous Cups," Morrow said.
"I'm going to do what I do, lead the way I lead; Sid, this is his team -- no question there. I'm not taking anything away from him -- he's the best in the world. I'm just going to be a piece of the puzzle. I'm not stepping on any toes. I'm just going to do what I do and play the way I play.
"The reason I picked Pittsburgh was the good chance they have to win a Cup."