If you have a DAW there are free oscilloscope plugins to see better exactly what is happening.
But, for Triangle and Saw waveforms the Shape Mod works a bit differently than with Pulse.
Pulse is full square at 50%, so that is its natural start position. The others start at 0%, so the Triangle being smooth (as you put it) is because all the way to the left is a pure triangle. As you move it right it starts to change shape and more harmonics are thus added.