Both forms are valid although most people would use the first one, the latter sounding more literary. Plus does not relate to the verb.

Actually both forms are correct.

Though the former (sticking plus to rien) puts more emphasis on the quantity of things that are non-shocking :

Plus rien ne me choque, (maintenant).
Toutes les choses ne me choquent plus, maintenant.
All the things don’t shock me anymore.
Nothing shocks me anymore.

Whereas the latter (sticking plus with the implicit “now”) puts more emphasis on the timely aspect :

Rien ne me choque plus, (maintenant).
Rien ne me choque, plus maintenant.
Some things use to shock me, but not anymore.
Nothing shocks me anymore.

(Note that plus can ambiguously mean either “more” and “no more”, so the latter can be misinterpreted to mean “nothing shocks me more that that” = “this is the most shocking thing ever”.)

Both are correct, but the second one is ambiguous when written, because if you don’t pronounce the “s”, it means “Nothing shocks me anymore”, but if you pronounce it, it means “Nothing shocks me more”…

And it’s not even that simple, because some people NEVER pronounce the “s” in “plus”, so you can’t even be sure of what they would mean when saying the second one.