"These are the things as a footballer you expect. You can never be surprised in this game," said the 25-year-old.
McSheffrey has backed the board to make the right decision but admitted Birmingham without Bruce - who has turned down previous approaches from Newcastle and Bolton - would be a difficult prospect to consider.
"We want to be as one so we would be disappointed to lose the manager," the £4million summer 2006 signing from Coventry told Sky Sports News.
"He (Bruce) has brought a lot of the players here and has done well. He is a big part of Birmingham City and has turned the club around, getting us into the Premier League.
"The current uncertainty is disappointing but I'm sure one way or another the club will go forward and the chairman and the board will make the right decision for the club."