If I am running an alternative shell and not Windows Explorer and Im using a different Filemanger than Windows Explorer, would I still be as vulnerable as users who are running it as their default shell?
It depends. Some alternative shells hook into the same libraries of Windows as Explorer. If a vulnerability is found in one of those libraries, you're just as vulnerable.
You'd have to look at them on a case-by-case basis.
Use depends.exe to look at DLL dependencies for Explorer (look at explorer.exe). Then, compare it to your alternate shell of choice. If you see any common dependencies, then a vulnerability in one of those DLLs could affect both.