In addition, Shéu played in the 1983 UEFA Cup Final which Benfica lost to R.S.C. Anderlecht 1–2 on aggregate, scoring the leading goal in the return leg in Lisbon, and also helped his only club to the 1987–88 European Cup final, a penalty shootout loss to PSV Eindhoven. He retired with 349 league games, only surpassed in midfield by another club legend and countryman, Mário Coluna. In the summer of 1989 he played in the National Soccer League with Toronto First Portuguese.