Both seems to designate the same event (for instance English wikipedia redirect to the same page, about the genocide, when you don't go through the disambiguation pages) and the preference for one or the other seems a national one (for instance the French wikipedia the main page Shoah is for the genocide and the main page for holocauste describes the sacrifice meaning).
Is there nuances or connotations in the choice between those two words?
(Auxiliary question: wikipedia URLs using ) seem garbled, is there a way to fix them?)
Shoah is a Hebrew word, which means "disaster." Holocaust is an English word derived from Greek, and as you pointed out, it means a sacrifice that's entirely consumed by fire (as opposed to other sacrifices, where only part is burned up and the rest is eaten), so it came to mean a total massacre. They refer to the same event. Because "Shoah" is the word that Jews designated for themselves, some historians use it too, as part of letting oppressed peoples define their own history, similar to how historians increasingly use native words when writing about native Americans, instead of the words chosen by colonists.