Avenger q's

[WarBlade]

Now, does conviction actually remove immunities on monsters in hell?  I've heard both sides of it, and have no way of testing or knowing if this fact is true or not.

Not exactly, but yes, in a way.

As you know it can severely impact on enemy elemental Resistances. Sometimes this is enough to bring those Resistances down enough to negate the Immunity effect and relegate them to merely formidable. Not always though. Even a maxed Conviction can be stymied by some of the monsters in the game. I see it most often with Cold Resistance, where even with Conviction maxed some monsters will remain Cold Immune.

Second, is holy shock and ok choice for second aura?  Or will I have to scrap this char and remake him, dumping points into synergies for vengeance?

Holy Shock works best with Zeal and considering you already have Lightning in abundance with Vengeance I would say you'd be better looking elsewhere in your Aura selection. Meditation is my preferred backup, just to deal with the mana loss in between fights and the Resist Fire/Cold/Lightning will also empower your Vengeance via the synergy.

However you might also want to consider Vengeance, Conviction, Resist Lightning and Holy Shock for your maxed out skills. The Resist Lightning will power up your Vengeance and later your Holy Shock, not to mention give you the sweet new passive upgrade to bring your Paladin's natural max Lightning Resistance up to 85%.