Lancaster station buildings are listed, too.
Some clarification here would be useful as the official listing is unclear. For example the heading to the official listing refers both to a buidling (singular) and buildings (plural). Also the original listing (1990) specifically referred to a building (West side). Within the detail of the listing the west side building is described in incredible architectural detail whereas the description of the rest of the station is decidedly cursory.
List entry 1195054. Grade II Listed Building: Railway Station Building. May include summary, reasons for designation and history.
historicengland.org.uk
OTOH Network Rail's description of the footbridge after its refurbishment specifically mentioned the bridge as having listed status.
Since the new shelter required planning permission perhaps the OP would consider contacting Lancaster City Council for details of just what was discussed when the application was considered. Could it be that the shelter is sufficiently remote from the other buildings that any visual impact is not expected to have any effect on the overall perception of the station regardless of how much of it is in fact listed?