Refined shea butter is just shea butter that has been cleaned and filtered, it usually has little smell and is very white. Sound good right?
Well, it can be refined with chemicals like Hexane, which remove the properties that make shea butter so wonderful for your skin.
Unrefined shea butter has a nice nutty scent, and a creamy pale color. I've never had any problems with the smell distorting what ever FO or EO I was using.
Either way, refined or unrefined can sometime arrive grainy. Usually in the summer where it melts a little on the UPS truck! If you temper it for a bit it usually ends up fine.
As for Cocoa Butter, I don't think its a refined, unrefined issue - it deodorized or regular. Honestly I have tried several kinds of deodorized and it always has a faint chocolate scent. Sometimes its just the ticket - sometimes not. When I want the hardness of cocoa butter with no scent I like to use Illipe butter.