Is there any documentation for integrating SagePay in the Shop app? I can't seem to find it..
The list of supported gateways is here: https://docs.grabaperch.com/addons/shop/gateways/
It's on the official Omnipay list. Does that mean you won't support it if its not one the the five listed on that page?
It means it's not one that we provide. It should be possible for someone to integrate it, though.