Well, depending on the catch rate of the legendary, yes, it would be fun to catch a shiny legendary in a particular ball. But it's also dangerous. For example, when I SR for a shiny Lugia on SoulSilver, I plan on capturing it in a Premier Ball or Love Ball. With Lugia's catch rate of 3, though, the chances of me succeeding are really low. If I wanted to catch a different shiny legendary, (Dialga, for example, who has a catch rate of 30) then catching it in a Luxury Ball would be a bit safer. But yeah, I strive to catch legendaries in balls that match their theme.
That's why I'm hoping to catch Darkrai in a Luxury Ball or Dusk Ball.