I'm back with the solution to solve my issue.

So, the problem was because I was not seeing the Name and other fields inside Define Shape data window but this are like "developer" details so to be able to see them you need to activate the developer mode on Visio:
To run Visio in developer mode:
1. Click the File tab and then click Options.
2. In the Visio Options dialog box, click Advanced, and then, under General, select Run in developer mode.

Source & more details: Open the ShapeSheet for a Shape, Page, or Document | Microsoft Docs

Have a great day!