Indeed, the process of stopping a gamma photon in lead (or any shielding material) is often a case of decreasing its energy, or increasing its wavelength, in successive steps until it is wholly absorbed. The major interaction for this energy reduction is inelastic (Compton) scattering of atomic electrons.
It is true, therefore, that a gamma photon could be converted to other, lower-energy, types of photons in this manner. It may even become a photon of visible light, and, if the shielding material were transparent to light (which lead isn't!), or if this happened at the surface, such a photon could then emanate from the material.
However, what is more likely to occur is the gamma photon reaching a lower energy whereby it could excite a number of low-orbit electrons and thus become wholly absorbed (the "photo-electric effect"; sort of the reverse of x-ray production). Furthermore, should a lucky gamma photon survive this energy regime there are a host of other photon-matter interactions at lower energies, which would reduce the chances of further survival down to the energy range of visible light. But it's not impossible.