Well, since Mag particle will typcially detect indication up to .050 deep that would be below the shot peened compressive surface, then we should be able to insure the integrity of this area of the part below the surface. (Or maybe add an Eddy current or ultrasonic additionally.) But I agree, the major concern is if you have a surface crack,it may be hidden and still be a fatigue concern.
I am getting information from a source that they have tested parts with a know crack and any crack would show in NDT after shot peen. I'm not convinced. The purpose of the shot peen is to prevent crack propagation that could occur from the cracks in the chrome plating. Obviously, the cracks in the chrome are very small (<.004)and there is data that shows that chrome plated parts have a significant fatique debit without shot peening.