I just solved it. Kind of easy so I will post the answer in case someone is reading this later. When building the graph you have to follow the same logic as when doing the analysis step by step. In that case, you would select the product where you want to import the shp and then use the import vector operator to do the job. Well, my error was that my import vector operator was not linked to any Sentinel product.
I think the error message creates some confusion. By saying “source product not set” it seems we are not setting the path to the shp, but it is actually referring to the Sentinel product.
Anyways, one image is better than a thousand words
M