Shop page is a special WooCommerce page and this individual option does not work for Shop page. You can disable footer/prefooter for the site at all then it will disappear for Shop page too.
But if you want to hide it for Shop page only you may do it using custom CSS
.post-type-archive-product .prefooter {display: none;} // To hide prefooter
.post-type-archive-product .footer {display: none;} // To hide footer
.post-type-archive-product .footer-bottom {display: none;} // To hide copyrights
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