Doesn't shock me- try this. Set it to harmonize a perfect fifth. Play a single note. Then shut it off and actually play a perfect fifth (make sure you're perfectly in tune first). They should sound almost exactly the same, right?
Notes played in harmony going into a distorted amp tend to "beat" against each other a little bit. This is normal- notice how it does it when you're physically playing the harmonies. By putting it into the effects loop, it harmonizes post gain and gives you the illusion of double tracked ahrmony being played by seperate guitars, which is probably the sound you're looking for.
Basically, you have two options- sacrifice harmonies for accurate pitch shifting, or sacrifice accurate pitch shifting for harmonies, whichever you find yourself needing the most. Alternately, you could move the Whammy from pre-preamp to FX loop when you go from a song that needs whammy shifting to harmonization (as I don't believe you can do this on the fly anyway on the pedal), or just pick up a seperate harmonizer or another whammy.
(This is why I'm essentially a "straight into the amp" sorta guy- basically, the nomad doesn' need much to make it sound good.
I'd love to pick up a good rackmount delay for a little light ambience on leads and looping capabilities, but that's about it, aside from an occasional wah or something)