A few minutes into our conversation, I ask Shelby about her favorite Prince song to sing. “Musicology” is one of the most fun, she says (she performed it at the Xcel tribute concert and again Saturday night at the Dakota). But “with him,” she continues, nodding slowly: “‘Nothing Compares 2 U.’” No disrespect intended to Rosie Gaines, another NPG vocalist who often sang that song with Prince. But she says that singing it with Prince took her to a private place, their own mental alcove, even in front of thousands of fans. “The last time I sang it was with him,” she says. “I don’t need to ever sing it again. I’m good.”