"shields" are a forcefield, and have at least a pressure, the fact that you can't breath the atmosphere does not discount the fact that audiosignals can't be heard...
We don't know how "shields" work, but they almost certainly are *not* using atmospheric effects to create some kind of pressure field, or else they wouldn't work in space (where there is not atmospheres)...at least, not unless they work by the ship continuously spraying gas or plasma out, which is fairly silly (in order to actually shield a ship from things like missiles, said spray would, by conservation of momentum, have to be either at huge velocities, expending massive amounts of energy, or have a huge mass flow, expending the "fuel" very quickly).
It's likely that shield use some as-yet undiscovered way of manipulating gravitational or powerful electromagnetic fields...but that has nothing to do with sending audiosignals through space. The fact is, once you get out of the atmosphere, any matter in space (and yes, there is a little), is way to rarefied (i.e. not dense) to transmit an audio signal, let a lone a shock wave.
How would you create an explosion in space? Your warhead would need both the combustible (i.e. TNT) and the oxygen for it to burn, yes? I imagine that would dissapate fairly quickly in a vacuum. Perhaps in a spherical or ring-like pattern...
No, and yes. An explosive (usually) has both a fuel and an oxidizer. So explosives would work in space (as would gunpowder...it is a myth that a gun wouldn't fire in space).
You are right, however, that the effects would dissipate quickly. In an atmosphere, an explosive transfers a lot of energy to its surroundings by creating a shock wave that actually outruns the expanding explosive products and travels through the air, and damages items some distance away before the products and fireball even get there (most damage from explosives on earth is accomplished this way). In space, you wouldn't get that shockwave (see above)...although objects nearby still would get a pretty good jolt from the expanding gasses...they have a fair amount of momentum, and close in there is a good bit of heat. However, this would dissipate very quickly...what is generally called an inverse cube relationship (effects go down as the cube of the distance increases). Probably they would be negligible after a few tens of charge diameters, I'm speculating. Shrapnel from the explosion would also pack a punch, assuming the explosive was cased...but the probability of getting hit by shrapnel also goes down with the cube of distance. So a missile exploding right next to a ship would probably damage it, but if you were any kind of distance away from an explosion, you would neither hear nor feel its effects.
The shape of the expanding explosion would strongly depend on the shape of the exploding object.
The depth charge scene in the film has Gerald saying "They're nuking every crater... Methodical bastards." So they're using nukes. Also the script describes the explosions on the moon surface as a mushroom cloud
Unless the moon had an atmosphere, there wouldn't be a mushroom cloud. The mushroom cloud is a function of the interaction of the explosive products with the surrounding atmosphere.