Thanks for your comments.
Bend the pins so they don't fit in the slots. Solder wires to the pins, and to two other pins, and use the two other pins in the SoftwareSerial instance setup.
I will definitely do that 
My guess it's that GSM needs to use those pins for a certain reason which I don't know.
Laziness.
It wasn't clear for me if the communication with GSM shield needed those two pins and in particular, because it was making use of the interruptions. After reading this Arduino Playground - HomePage it's clearer
None of this, though, will allow you to turn off the GSM shield. Without doing that, you won't save power.
It is not possible to turn off the GSM shield using the power mode related functions? I haven't studied the functions yet, but I was expecting to control the 5V pin directly with those functions.