Marc-Andre Fleury made 19 saves for his ninth consecutive win. It was his 67th shutout to tie Roy Worters for 14th in NHL history.
Fleury and Robin Lehner won the William M. Jennings Trophy because the Golden Knights allowed an NHL-low 124 goals this season, four fewer than the New York Islanders. Lehner won the award with the Islanders in 2018-19.
"For me, hands down, the best goalie tandem in the League," Vegas coach Peter DeBoer said. "I'd like to think that trophy, and I'm sure they would say this, is also a team defense trophy, and I think they got some good help from our commitment to defending. Those two were outstanding every night for us."
Alexei Melnichuk made 38 saves for the Sharks (21-28-7), who lost three straight games to end the season. San Jose failed to qualify for the Stanley Cup Playoffs for a second straight season.
"Our dressing room is a better room than it was in training camp," Sharks coach Bob Boughner said. "This is just a good learning experience for everyone. If I could take anything from this, and I just told this to the guys, I think we all have to learn to remember this feeling. This organization had to take a step back in order to take a step forward."
Alex Pietrangelo gave the Golden Knights a 1-0 lead at 3:52 of the first period when he scored with a backhand off a pass from Reilly Smith. It was the defenseman's second straight game with a goal.
Keegan Kolesar made it 2-0 at 7:48 off a rebound in the crease.
"In a type of game like that, you want to get the will out of the opponent as fast as you can, and we did," Marchessault said. "We played well, structured everywhere in all three zones. Honestly it was a good start to the game for us."