they must have a shader recompiler infra, because all the shaders are shipped precompiled directly for the platform on consoles. so it's a good bit more than what wine does, at the very least in that regard.
There are also some considerations regarding texture compression, I believe, which is a function usually performed in dedicated GPU hardware, and not all GPUs support all formats.
In any case, that intermediate representation is probably still easier to compile to hardware-specific code, especially if the hardware has a Direct3D implementation. That's what it's designed for, after all!
Everyone ships either shader code or intermediate languages instead.