Why is macroeconomics studied through "Shocks"? "Why is modern macroeconomics all about identifying this shock and that shock?"

Coming from a theoretical econometrics background, I have recently delved into empirical macro literature. I am a bit confused about the meaning and significance of the notion of shock. Why we are trying to see the macro-world through the lens of shocks? What is the nature of these shocks that gives them this much explanatory power? 

The only explanation I could come up with is that this obsession with shocks is a result of trying to fit macro problems into the framework of Wold decomposition theorem. Any covariance stationary process can be decomposed into a deterministic part and an $MA(\infty)$ part. The deterministic part fits well with the idea of steady-state of the endogenous variables, while the stochastic part gives rise to the idea of seeing the macro variables fluctuation as a result of MA shocks. 

What is confusing to me is that it seems macroeconomists are trying to find "real" meaning for this merely-statistical notion of shock. The impulse response function of tax shock, government expenditure shock, etc., are how they see the world.

What am I missing?
Im assuming you're discussing some of the models associated with Real Business Cycle Theory.

These models have a structural underpinnings (meaning that there is some assumptions/empirics with regard to consumer behavior). Starting with the understanding that consumers are also suppliers of labor which face a intertemporal consumption-leisure trade off and Firms are profit maximizing and use capital,labor and technology to produce.Using this setup we can do some standard calculations for what equilibrium and Balanced Growth Paths would be.

Now this as it stands is not a theory of fluctuations. The way Fluctuations are accounted for in this model is VIA exogenous shocks that enter through Technology,A overall change in aggregate preferences and increases in interest rate ect. This enters in the error term of all our equations. 

This is the justification for using Impulse response functions, Its to analyse what the implications are for surprise changes in our variables in terms of consumer and producer behavior.

TL;DR:
The main point of this analytical process of shocking is to be cognizant for how economic shocks enter the economy and what the implications are for consumer and producer behavior. This is based on the structure of that is imposed by economic theory.