Lights are required because they're also adding a protected dual left turn from southbound Shag into Hidden Valley, a movement that currently doesn't exist. Overall, this is a massive win if you live in Hidden Valley and a mild inconvenience if you're through-traffic on Shag, which is more than negated by the reduced delay from the bridge over Stoney being increased from 1 to 3 lanes.
The original plan, even after the completion of Stoney NW in 2009, was for the opposite of what you suggest, for Hidden Valley Drive to bridge over top of Shag and join it from the south side. Also, the Shag/Stoney interchange to be a soaring 3-level complex that looked closest to what was built in 2016 at Henday/Yellowhead NE in Edmonton. As absurdly expensive a fairy tale as any I can recall seeing in the ring road plans.
The city, since 2009, has downgraded Shag's overall importance. Why the mega interchange isn't happening, per the
city's Q&A:
Given the reduced importance of Shag, elevating the road doesn't do much for you besides incite Capitol level riots from people who definitely didn't sign up for that, a distinct contrast from the people who bought properties backing onto Stoney Trail's transportation and utility corridor and were surprised a freeway is going up there.