To kill the Shambler you have to stab the painting, not the creature. In the gallery, there are numerous cases with daggers in them. With your back to the Shambler painting go to the far right-hand room and take the knife from the right-hand case on the far wall. Pierce will says, "This dagger looks different." Run up to the painting and stab it with A.
For clarification, with your back to the painting turn right in the area with the statues and left into the room with the weapon cases. I'm sure someone will post a video, this will have to do until them :]
EDIT: I added a short clip showing the location of the dagger.