I am sorry you are having this problem. Please just let me say your lingo makes it a little hard to understand the problem. Nobody with much cycling experience talks about the gears by numbers. It is better to describe which front ring you are on (small ring, big ring or in the case of triples granny ring, middle ring, big ring) and which rear cog (third smallest, etc.). You have to say whether you are shifting to larger or smaller cogs as there is no real numbering convention. One possibility is your cable tension isn't quite tight enough, a common problem on a new bike. Take the bike back to the shop again, and instead of pedaling it for them, watch what they are doing. That is much more important. For most adjustments, they don't need anyone sitting on the bike, and you are more likely to get it right when you are back at home if you know what to do, than they are at the shop. Get them to show you how to use the adjustment screw(s) to loosen/tighten the cable and also how to loosen the cable fixing bolt and pull it tighter. Most importantly a modern Ultegra rear derailleur and shifters should work wonderfully well. You shouldn't be having this problem.

Good luck.