What if the black hole shadow is oblate or prolate -- does it mean that there is something wrong with the General Theory of Relativity?

Finding something contrary to our expectations (some of which you may find in our simulations gallery) would certainly be interesting. It would not necessarily mean that the General Theory of Relativity is wrong, but it would imply that we have more physics to understand. Discoveries of gravitational waves from merging black holes by LIGO and collaborators have recently confirmed one of the most fundamental predictions of this theory.