This makes me wonder: do I have to reveal the card I have searched for?
Yes you do
A card that one searches from deck has to be shown to your opponent. In the case of Sangan, you have to show it so it is known that it was a 1500 or less monster.
The case for Shallow Grave is different, as cards in the graveyard are public knowledge always.
At any time you may ask your Opponent to look at his GY, thus in this case both players see the cards picked from the GY and set.
Here we have a more official statement from the Wikia (quite recommended reading BTW), emphasis mine:
When an effect causes a player to searchforsearch for a card of a specific type in their Deck, that player must reveal the card to their opponent before adding it to their hand, Setting it on the field or placing it on the top of the Deck with that effect. For example, when a player adds a Monster Card to their hand using the effect of "Sangan", their opponent may read all of the information on the Monster Card added.
They even give the example with Sangan :o)
On that link they also explain some other funny rulings, like revealing all your deck if there is no valid target for Sangan, or not revealing your hand if all the copies of the card being questioned are public knowledge, but that escapes the scope of this post.