I'm working on my first Sheltie pup now; our last dog was half Sheltie, and yes, by all accounts they're a very sensitive breed. A couple of weeks ago I "scooted" Dickens out of the kitchen when I was cooking, waving my hands toward the door and saying "scoot!" in a somewhat loud voice. Ever since, all I need to do is say "scoot" in any tone of voice, soft or loud, and he's gone. The poor thing wants desperately to do what's right, and can't stand being chided, much less spoken to in a harsh voice. But of course discipline has to be maintained, so scolding is unavoidable. When I do have to scold him I let him suffer the effects of it for a few seconds, then go to him and make it up with some soothing words, just to show him that his little world isn't collapsing. He gets over the scolding, but remembers the offense, which is what you're looking for after all.
He is quite a card, though. When he thinks you're upset with him he runs over to the door and starts ringing his jingle bells to be let out, then acts surprised that it isn't working!