I guess Mello is one of the few people who wound´t fear at all bullying a shinigami wwww. Poor Shidō :,D but Mello is so happy playing with his wings...
It surprised me the first time Mello and Shidō met because he inmediately started giving orders and intimidating him. Wasn´t he afraid that the shinigami could kill him?
Mido can sniff out anyone that would actually challenge him, so he didn't perceive Shido as a threat XD It would have been interesting if they ended up friends like Light and Ryuk (or Taro and Ryuk for that matter), but Shido is a little indifferent at times XD