I have a few different sets of Shas Bavli, and most of them contain Shekalim from the Yerushalmi. (The Steinsaltz version does not, for example, though the Oz v'Hadar version does). When did people first start including it, and why? Is there something special about the content of Shekalim in the Yerushalmi, such that people wanted to include it in the Bavli, despite not including any other Yerushalmi masekhtot?
In a standard Shas, all the Masechtot are printed, even those without Bavli on them.
For example, at the end of Vol. 1 - Brachot - you will find all the Mishnayot of Zeraim with Rishonim (usually the ר"ש, IIRC).
At the end of Niddah you will find the rest of Taharot.
In Mo'ed the only tractate without Bavli is Shekalim - so it was added. As to why it was added with Yerushalmi and not the Rishonim like the other Bavli-less tractates, is open to discussion. Maybe it makes Mo'ed feel more complete that all tractates have some form of Talmud on them.
Or maybe we should ask why those tractates with Yerushalmi (like parts of Zeraim) were not printed with their Yerushalmi.