It is not important for us to contact Shego this turn. It would be nice, like many things would be nice. We will in no way "alarm" Shego with our current actions; why would that even happen? You'd think she'd pretty happy with us coming out in favor of supers. Does she really care about Arizona at all? If you want to coordinate against Toffee it is better to that after the investigation results so we are all on the same page.
In contrast, every turn without additional Occult heroes is another turn where we have to eat raw roll after raw roll on our Occult actions and stand very little chance of progressing whatsoever; we can't rely on Tobe crit succeeding every turn.
Janna is pretty booked with Xanadu this turn and the Auction, searching for Star and more temple spelunking in the future. Not to mention she has a trait that makes her unreliable in National Actions! More Occult heroes are needed exactly because we often want our units doing other things, and that's only going to become more true as we get more Quests and more actions. It's not like we are suffering a glut of these things, even!
Getting more heroes now sets the foundation for more successful actions in the future, whether that be by Quests or National Actions. That an entire category often goes completely without expert assistance is criminal.
This is even more true now that we are committing ourselves against Toffee; magical help will be quite essential, to say the least! The earlier we get it the earlier we can start protecting and preparing ourselves against him. Considering how much more powerful and knowledgeable he is on the subject compared to us, the earlier we get it the better.
In brief, contacting Shego is nice and would presumably help a ton of actions, but getting an Occult hero gives a struggling category the help it needs, a category now more relevant than ever given our recent choice of enemies. The sooner we patch that hole, the safer we will be.