I installed the Shunt Regulator first. I bought it with the Kit, but waited a couple of months to install it. A few months later I bought and installed the DC Filament kit. Of the two, the DC filament was the more impactful because I was dealing with audible heater hum (very efficient speakers). Probably because of the hum issue downed it out, I don't recall the shunt regulator making a huge sonic change. It's been more than a year though and memory fades. I built my Stereomour II as a straight up amp and deleted all the preamp features so the stepped attenuator kit isn't applicable to mine.
If I had to do it again I'd definitely install the DC filament kit first.
It's a tossup whether I'd install the shunt regulator or the stepped attenuator next, assuming a stock unit. Maybe the stepped attenuator, because it seems like it might benefit from more open access during the install. Although having said that, the Shut Regulator board mounts under the power transformer, so should be well out of the way of the Stepped Attenuator.
