In general, Parsing Shortcodes is a string manipulating process that might affect the regular WordPress page loading time. We passed on this situation before and we decided to don’t allow Widgets to parse Shortcode only for the CJT Plugin! We might include it in the next PRO release however for now you can install http://wordpress.org/plugins/use-shortcodes-in-sidebar-widgets/ Plugin. This Plugin allows you to get Shortcode works on the Sidebar Widgets.
Hope that’s helps!
Please let me know if your issue still exists.