The reason for that is because they add cocoa powder to flavour it. Cocoa powder isn't a super-concentrated flavouring like vanilla or artificial strawberry (it's basically cocoa beans that have been roasted and stripped of their fat). This is why it takes up more volume/mass than an artificially-produced, super-concentrated vanilla flavour. What I do is I get some vanilla (or even plain), and add 1/2-1 teaspoon of cocoa powder to it myself (I also add sweetener if it's plain.) It's cheaper and more effective, as a jug cocoa is like 3$ at the store, and you don't need much of it to flavour a shake.
Try adding peppermint extract to your chocolate shakes, as well... It's heavenly!
I'm a very good cook, and I have a good knowledge on how to make shakes taste damn good. If anyone wants info, PM me and I'll try to help you.
Take care!
Colin