I don't know of any way to disable it inside Lunar Magic, but you can disable it through SMW Customizer
. Open the program and enter your ROM name (make sure it's in the same folder), then go to Misc. Sprite Options. Scroll down and you'll find a "Blue koopas kick shells" option. Uncheck that, then go back to the main menu and hit save.
Word of warning: If you decide to change any other parameters too, know that the "Sprite that spawns when Yoshi eats enough red berries" option is glitched.