'Energy return' (like fuel cell) is propulsion - so propelling you forward while you're pushing, or adding a little extra snap when you pop for tricks.
'Shock absorption' (like abzorb) is the absorption of impact - like softening the impact when you land.
Both things would be helpful in a skate shoe for different reasons. In shoes for sports like basketball and tennis, you'll see design elements that aim for both things - like a shank or harder foam in part of the midsole for propulsion, AND a softer foam or airbag under the heel and forefoot to absorb impact.
It's not really a 'one or the other' thing - part of the science in designing athletic shoes is trying to encompass multiple elements in different parts of the shoe. Though some shoes will emphasize one more than the other, to accommodate different athletes and different preferences (i.e. in basketball, a centre needs different things from their shoes than a point guard).