In terms of FM, nothing beats a good dedicated tuner with an external antenna on a rotor. That being said, some of the better shortwave portables (or luggables in many cases) did come with excellent FM sections, the Grundig Satellit models come to mind. (The Sat 700 used three 180 kHz filters, for example.) The Panasonic RF-2200 apparently also performs excellently on FM, even though it's better known for having an outstanding AM section with a rotatable ferrite antenna. (Its "little brother" RF-1150 apparently also performs quite well in these regards. This might be the best-looking radio, ever - at least I'm not the only one who's pretty fond of the design, and I'm more than 5 years younger than the thing itself...) As far as more compact portables with two not too wide FM IF filters are concerned, the YB400(PE) and Sangean ATS-909 are quite popular, with Degens possibly being the FM kings (apart from image rejection).
Now, let's look at AM, or mediumwave as called over here. Antennas are highly important there, and typically ones responding to the magnetic field (ferrite loopsticks or loops) are used as they tend to provide good directionality (essential for DXing, or any decent night-time listening actually) and low susceptibility to near-field RF interference mostly affecting the E field. Some tuned loops even allow very high-Q resonance when coupled with an amplifier, which is neat for digging those very weak stations out of the mud right next to "local" transmitters, where even receivers with fairly steep IF filters and low LO phase noise run into their limits. Frequently big loops can also couple to internal ferrite antennas inductively. Looking at built-in ferrite bars, "longer is better" seems to apply, in both sensitivity and directionality. (Ultra-compact receivers typically do not fare very well on AM.) Receiver wise, typically a well-executed single conversion design with tuned front-end is sufficient for AM, so no advantage for dual conversion designs here (quite the contrary, as more IF stages = more noise). However, an IF filter giving good selectivity on shortwave will do the same on AM (but probably compromise on audio fidelity). Receiver wise, here's a comparison involving several popular models:
http://www.radiointel.com/review-mwolympics.htm
I'd say a shortwave portable is not superior to a dedicated FM/AM radio (some of the best AM performers are strictly FM/AM after all), but since stuff with decent shortwave sections typically costs a bit to begin with, it's not unlikely that decent FM and AM sections are thrown in as well.