Using a standard Membership site setup, I set up five subscription plans and six Membership Levels. I see the shortcodes for each level in the Membership -> Access Levels page.
I used the shortcode on some pages and the shortcodes appear in plain text on the page when I am logged in as admin.
Following the PDF, it shows a screen capture which shows a list of available shortcodes on the protected content page. That doesn't appear on my version of the Membership plugin. Did you simply hide this in later versions of the software or do the shortcodes not work appropriately?