None currently, because - unlike posts - shouts can very quickly get lost in the mists of time (and archive). You can directly link to a post, not so with a shout.
So in the end it would most likely only serve to aggravate the member trying to search for the shout they got mentioned in
Not to mention that shouts are only meant to be idle banter, not discuss serious matters that would warrant the attention of someone not currently in the shoutbox
Fillip