I would catch the shiny, then reset the EVs on the relevant Pokemon. The same would go for defeating other Pokemon in a double battle in older games where you don't gain experience and EVs from catching Pokemon, but you have to be down to a single Pokemon on the field in order to catch it. I've messed up EV spreads before, for other reasons (actually, I have one I have to reset sitting around in my PC at the moment), so it's not the end of the world. If there was no way to reset EVs, it would be more of an issue, but it would probably still make sense to catch the shiny, unless the Pokemon I was training was a perfect shiny that I could never replace.
I do kind of wish catching Pokemon didn't give you EVs though. It can be nice to get the experience at times, but it can cause a lot more trouble than it's worth. I can't think of a situation where catching a Pokemon and missing out on the EVs would cause a problem long-term, but I can think of plenty where gaining EVs from a catch would cause problems.