Shellac is supposed to be fairly safe. I sort of remember hearing that it was used in some food thing, like a candy coating or something.
I have also heard that all of the commercially available finishes are not toxic once cured, so that for most kids playing with a puzzle any would be safe. The one exception would be for young kids that will definitely be chewing on things.
I personally have used polyurethane or lacquer on puzzles that I made for my 3-year old (now almost 5-year-old). I like the durability of poly to protect the acrylic paint that I have used on painted ones.
Katie