Some zip files, such as ne_10m_admin_1_states_provinces_lakes_shp.zip, include the "_shp" prefix. Others, such as ne_50m_admin_0_map_subunits.zip, do not. It would be nice for automated processes that consume these files if the zip file always matched the name of the shapefile contained therein.
See the world-atlas Makefile for an example of a work-around.
The reason the _shp postfix is there now on the admin_1 states series is due to the UTF-8 Unicode master being locked up in a GeoDB file. The SHP version is a degraded copy in the 2.0 series (Windows-1252 default encoding for SHP files doesn't capture unicode chars in Vietnam, for instance).
The 2.1 > 3.0 work (https://github.com/nvkelso/natural-earth-vector/issues?milestone=1&state=open) I've been engaged with the last couple months fixes this so the exported SHP is an exact match for the GeoDB.
Expect this to launch within the month.