As mentioned: Tanya Huff's
Silvered. Gail Carringer's
Parasol Protectorate is a spoof, so that might get you over the 'ugh, its steampunk Urban Fantasy' knee-jerk dislike.
Patricia Brigg's Sianim Series, starting with
Masques.
Tanya Huff's
The Enchantment Emporium is modern/urban but I'd rank it as fantasy rather than urban fantasy. IIRC the shifters are sidebar characters so it might not be shiftery enough.
Sheri S. Tepper's shifters in the
Chronicles of Mavin Manyshaped and the
True Game series can transform in to anything they wish (trees, rocks, people, animals.) Some of these are 1st person but if you hate first person as much as I do, they are still worth the read
. Tepper always has fabulous, unique worldbuilding.