The cheap and cowardly way out would be to say that "It does whatever the script wants it to do".
But let's not go down that path.
First a summary:
It is some sort of bioplasma capable of retaining kinetic energy, hence her ability to cause great impacts and blast through things without setting them on fire. On this we all seem to agree.
However, the kinetic energy can, with a bit of focus be transformed into a "simpler" dignity of energy, that is to say good ol' heat.
Keeping such a focus in battle is most likely kind of tricky.
Mind you, if Shego actually landed a solid punch on KP...well, that could get gory.
Range:
The range of her blasts seem to be limited, presumably because the energy of blasts/pulses dissipate rather quickly.
From what I can remember of the blasts in the TV-show however, they usually are of the kinetic type.
When she generates heat it seems to be in the shape of a ray, as seen in Emotion Sickness. It also seems to have even shorter range than the kinetic blasts which further supports the theory that it needs a more intense focus.
Conclusion: I agree with oldsoldier's view on the matter, as a whole.
Now, Shego (and Team Go) got the powers from the meteor/comet.
Does this mean that there is a limit to the power's duration?
Will Shego run out of "fuel"?
Or does her body generate a steady flow of new energy by itself?
This is supported by the fact that her powers wane when Shego is ill.
Would it affect her dietary needs?
She does like tanning, yet she does to tan.
Does she absorb energy from the sun to rebuild energy?
Or, potentially more unsettling, did the comet just make Team Go living conduits for power from "Somewhere Else"?
Are we moving into Lovecraft country?
Oh, one more observation:
The only part of her body where the energy can be projected from seems to be her hands.
Otherwise she would be able to "leap tall buildings in a single bound" and suchlike.