The shapefile download option has been removed due to performance and stability problems associated with generating large shapefile downloads.
As an alternative, the ALA recommends using the CSV download option, which contains the same point data (decimal latitude & decimal longitude - in EPSG:4326/WGS84) as the shapefile option. Most GIS tools which allow shapefile import will also work with the CSV download format.
If you have any questions about this change or require assistance importing the CSV format, please send an inquiry to support@ala.org.au.