A book like that would have to be sold separately. They do it a lot in gaming. I would buy it even tho I don't think the art in Shenmue is all that note worthy but still get it just because it's an artbook of a series I love.
There have been a few CE's to come with good quality artbooks, though. I think the European MGS HD collection's CE was the most recent one I can think of, a big beautifully presented hardback book.
I'm not a fan of all these multiple CE releases, though. It's just annoying and a cheap way to get more money out of punters. I rather just have one good collectors edition or none at all.