Star admits theft finally -- shock! (4)
I believe the answer is:
stun
'shock' is the definition.
('stun' can be a synonym of 'shock')
'star admits theft finally' is the wordplay.
'star' becomes 'sun' (Sun is an example).
'admits' indicates putting letters inside.
'finally' indicates one should take the final letters.
The final letter of 'theft' is 't'.
'sun' enclosing 't' is 'STUN'.
(Other definitions for stun that I've seen before include "Surprise greatly, knock someone''s socks off" , "Knock into a semi-conscious state" , "Concuss; amaze" , "Nuts (anag)" , "Numb with nuts" .)