Shell opened the scoring 2:57 into the game and then added the eventual winner at 16:26 of the first period.
Skylar Colonna found the back of the net for the Chiefs.
Sudbury's Danika Ranger made 19 saves for the win as Sarah Murray turned away 18-of-20 shots for Red Deer.
The Lady Wolves were 0 for 1 on the power play while the Chiefs failed to capitalize on two chances with the man advantage.
Earlier in the day, Nara Elia scored once and set up two more and Karlee Fetch stopped 27 shots as the Saskatoon Stars toppled the Central Plains Capitals 5-1 for the bronze medal.
Sophie Shirley, Julia Rongve and Kianna Dietz had a goal and an assist apiece for the Stars, who also got a goal from Mackenna Parker.
Sheridan Oswald was the only Capitals player to beat Fetch.
Lauren Taraschuk made 10 saves for Capital Plains.
Both clubs went 1 for 3 on the power play.