why do we not get a shock?
Because the electric resistance of a human body is by orders of magnitude higher than the resistance of the steel pot.
why is it that current is converted to heat while it has a good conductor(say, steel) to flow through?
According to Maxwell–Faraday equation, changing magnetic field creates the electric field, i.e. the difference of the electric potential. Then, the difference of the electric potential creates electric current. Electric power = voltage * current. The voltage (the difference of the electric potential) only depends on the properties of the changing magnetic field. The current is defined by the Ohm's law. Lower the resistance, more current, more power.
For example, if you're trying to heat a glass pot, the changing magnetic field will still create the same electric field it'd do in a steel pot. But since glass is insulator, no electric current will flow, and (almost: dielectric heating is negligible @ the operating frequencies of induction cookers) no heating will occur.
P.S. Most funny thing will happen if you'll try to heat a super-conductive pot. To be honest, I'm not exactly sure what will happen.