The Ogallala bay rums consists of oils and I believe witch hazel. They separate, with the oils sitting on top. When you shake it, you get the same effect as a bottle of oil and vinegar. Little spheres of oil disburse into the witch hazel but as soon as you stop shaking the two start to settle and the spheres start to aggregate and float to the top to stratify again. I don't know if the bottle you have allows you to see it, but this happens pretty quickly with the Ogallala products.
If you don't shake it, the oils are on the top exposed to air so when you open it the scent will be much more powerful. If you apply it without shaking it you will get a much higher concentration of oils that will smell much stronger and might irritate your skin.
If you shake it and immediately open and apply it, then the odds are good that you will be very happy with it!