Some of the difference can have to do with the MO (modus operandi). But there is a lot of overlap. So some of this is my opinion about these, and not necessarily definitions.

Conned could have to do with a confidence trick, in which a false sense of confidence is developed in the victim, then the real crime is committed. So there is bad intention in the initial act of engendering a false sense of confidence. Then comes the rip off. So the over all thing is a con job, and the rip off is the final act.

Fleeced can have to do with something like what is happening now in Cyprus. Depositors have money in banks in Cyprus, that has deposit insurance. Along comes EU/IMF etc and imposes "hair cut' (fleecing) of deposits, and not honoring deposit insurance. There was no intent initially in stealing the money, this has come about after the fact, some time after depositors started doing business with bank. But I think fleecing could be done with bad initial intent as well. "Investors fleeced after being sold bill of goods"

Shafted can come about from some details in an agreement, like pension agreement, or insurance or something, in which a person is fulfilling their side of the agreement, paying their part, and then when it comes time for the counter party to do their part, they point to some contractual detail and say , we don't have to honor the agreement, because person failed to do some trivial thing. So this can have to do with a counter party not honoring an agreement, they have a legal way to weasel out of agreement, but it is contrary to spirit of the agreement, and they are really being like Scrooge. So this one can be like someone legally doing something rotten. It's legal, but immoral. "Shafted in court/legal decision"

And so the way I look at these is that the differences have to do with how the bad thing was done. Was the thing criminal from the beginning? Did the thing develop because some party got into trouble, and is pushing the trouble onto someone else, without initially thinking that they would do this? Is it a case in which a person has not looked into the fine details of a situation or agreement, and so has missed out that they need to do specific things to ensure they remain eligible or in good standing?

I suppose there are many possibilities, but these cover a few. And there really is a lot of overlap.

A common one today is this thing called a "Bait and switch".

Also look up "sold a bill of goods".