Instead of a single console to collect shmups for, why not have a PS3, 360, Wii, PS2, Saturn and Dreamcast all hooked up and ready to go?
You'll need to get a PC Engine at some point! Here are all, I think..., the shooters you are missing (discount the ones that are multi-platform, although sometimes they are a bit different on the PCE than other consoles). I bolded what I consider at the "must-haves", which includes a few games that I think have their definitive released on the system. I would have bolded the other Konami shooters, but, aside from Gradius II (best version is here!), just play them on the Saturn/PS1 deluxe packs.
1943 - Kaï - Pcengine
Aero Blasters - Pcengine
Armed Formation F - Pcengine
Atomic Robokid Special - Pcengine
Barunba - Pcengine
Bouken Danshaken - Pcengine
Burning Angels - Pcengine
Coryoon Child of Dragon - Pcengine
Cybercore - Pcengine
Daisenpu - Pcengine
Darius Alpha - Pcengine
Darius Plus - Pcengine
Dead Moon - Pcengine
Deep Blue - Pcengine
Detana!! TwinBee - Pcengine
Download - Pcengine
Dragon Saber - Pcengine
Dragon Spirit - Pcengine
Fantasy Zone - Pcengine
Final Blaster - Pcengine
Final Soldier - Pcengine
Galaga88 (90) - Pcengine
Gokuraku Chuka Taisen - Pcengine
Gradius PCE - Pcengine
Gunhed (Blazing Lazers) - Pcengine
Gunhed Taikai - Pcengine
Hany in the Sky - Pcengine
Heavy Unit - Pcengine
Image Fight - Pcengine
Image Fight 2 - Operation Deepstriker - Pcengine
Magical Chase - Pcengine
Metal Stoker - Pcengine
Mr. Heli - Pcengine
Ordyne - Pcengine
Override - Pcengine
P47 The Freedom Fighter - Pcengine
Paranoia - Pcengine
Parodius Da! - Pcengine
PC Denjin/Air Zonk - Pcengine
Power Gate - Pcengine
Psycho Chaser - Pcengine
R-Type - Pcengine
Rabio Lepus Special - Pcengine
Raiden - Pcengine
Rock On - Pcengine
Salamander - Pcengine
Side Arms - Pcengine
Soldier Blade - Pcengine
Super Long Nose Goblin - Pcengine
Super Star Soldier - Pcengine
Tatsujin (Truxton) - Pcengine
Tenseiryu Saint Dragon - Pcengine
Terra Cresta 2 - Pcengine
Thunder Blade - Pcengine
Toilet Kids - Pcengine
Toy Shop Boys - Pcengine
Ultimate Tiger - Pcengine
Veigues Tactical Gladiator - Pcengine
Violent Soldier - Pcengine
W Ring - Pcengine
Xevious Fardraut Densetsu - Pcengine
Alzadick (Summer carnival 92’) - Pcenginecd
Avenger - Pcenginecd
Cho Aniki - Pcenginecd
Ai Cho Aniki - Pcenginecd
Download 2 - Pcenginecd
Forgotten Worlds - Pcenginecd
Gate Of Thunder - Pcenginecd
Gradius II -Gofer No Yabou - Pcenginecd
Hawk F-123 - Pcenginecd
Hellfire S - Pcenginecd
L-Dis - Pcenginecd
Legion - Pcenginecd
Macross 2036 - Pcenginecd
Metamor Jupiter - Pcenginecd
Nexzr - Pcenginecd
Psychic Storm - Pcenginecd
R-Type Complete CD - Pcenginecd
Rayxanber II - Pcenginecd
Rayxanber III - Pcenginecd
Sapphire - Pcenginecd
Serei Senshi Spriggan - Pcenginecd
Side Arms Special - Pcenginecd
Spriggan Mark 2 - Re-Terraform Project - Pcenginecd
Star Parodier - Pcenginecd
Super Airzonk - Pcenginecd
Super Raiden - Pcenginecd
Sylphia - Pcenginecd
Terraforming - Pcenginecd
Winds Of Thunder - Pcenginecd
Zero Wing - Pcenginecd