You can allow the user to "Bring to Front" or "Send to Back" using the DoCmd function, a proper id, and a right-click Action or Double-click event.
Technically, you can't control z-order via the ShapeSheet, but with clever tricks, you might be able to get bring-to-front and send-to-back to fire (via DoCmd) in reaction to changes in ShapeSheet data. The thing is, these z-order operations operate on selected shapes, so if your shape's data changes when the shape isn't selected, you won't get the desired results.
Ie: it's "slightly" possible, but probably won't be dependable.