the middle of Mc Entire class D airspace, Shaw approach gave me "radar
services terminated, squawk VFR, for further flight following suggest
you contact Columbia approach on 133.4". Hmmmm.... Doesn't this mean
that the instant after he terminated me, that I was not in two-way
communication with the ATC facility (and unintentionally in violation

Most likely he had already given a call to the class D
tower and coordinated your transition as he would with IFR traffic.

of 91.129(c)(1))? If so, what action should I have taken? Honestly,

He didn't say he won't accept any further radio calls from you, did he?
Did he say "freq change approved"? Anyway, the action is quite obvious -
you should have called him again with a request for clarification,
because you didn't fully understand his intentions
(smth like "please confirm we do not need to call the ... tower").
"When in doubt, ask"