yes unfortunately Thai immigration can randomly request these documents that are required .
If you apply in your home country it would be straight forward .
Because you are applying in Shanghai and you are not Chinese passport holder they want you to show proof of your hotel stay or residence in Shanghai
With out that you have 3 option only
Go back to your home country and apply
Start application again with vpn set up in your own country but put your country as you are in your home country
Or depending what passport holder you are then you don’t even need a visa you get 60 days entry with out need for a visa that can be extended to 90 days also