I know it's silly, but I'd stat it up as no catch.  The catch is that they don't have the toughness when not in their were-form.  Take the power at full cost without a catch rebate and have a +0 unknown catch.  
The whole point of a catch is to give a workaround or weakness.  The weakness of an Alpha-style shapeshifter is that they're squishier when human.
I know RAW says Toughness powers must apply to a catch, but then you've got Werewolves without one all over the place.  Alpha style werewolves don't have a catch like Silver, so why would other were-creatures?  
In my games, as long as you don't have access to a toughness power all the time (either against a certain type of weapon, or when shapeshifted, or only during a full moon, only carrying a certain item, or whatever) that's good enough for a catch.  
When we had a werebear fighting in our party, I did throw them up against Circe.  She made a declaration that her magic was focused on shapeshifting, so it bypassed the toughness powers of shapeshifters.  The player got a fate point and was scared for the first time in the entire game.  It was fun.