Although the performance does not include Chinese martial arts, classical Chinese dance and martial arts (kung fu or wu shu) do share some similarities.
Thousands of years ago, when Chinese martial arts first appeared, its flips and techniques greatly influenced other ancient art forms, including opera and dance. Some of the movements originally intended for combat were transformed into a means of entertainment for both informal festive occasions and grand imperial celebrations. Over time, martial arts and classical Chinese dance grew into the separate art forms we know today.
In the Shen Yun performance you might therefore see not only movements that look similar to martial arts, but you might also see traditional weapons—sticks, spears, swords, and the like—used in both martial arts and Chinese dance.
(More about the similarities and differences between classical Chinese dance and kung fu)