It's like it is.
Honestly I prefer the original Japanese voices + subtitle over the English dub version - imagine they' dub Japanese pop singers for European or American releases of their records. Here in Germany all the foreign movies are dubbed before they're shown at the cinemas or in TV. o_O
Luckily there's DVD now, so we can finally enjoy the real voices of the actors.
Anyway, back on topic:
If you'd prefer English voices, there's been an xbox version (which is the reason why Shenmue II on Dreamcast didn't see a release in the states) with an English dub. I heard that it's a horrible dub much worse than that for Shenmue I, but I can't confirm that since I don't own an xbox.
I think there's an attempt to merge the xbox dub with the Japanese version of Shenmue II but I really don't know how far they came - and obviously you'd have to use backups instead of real GDROMs, so we couldn't get into too much detail anyway.
However, here's a link to the Shenmue Dojo:
...and here's the original post where I learned about the project: