I opened the shut off valves of the new shower faucet and water started leaking after hearing a pop sound and no water came through the shower head but through outside the line between the walls.

Hi Kilhefner...

As you suspected... doesn't sound good... huh? If the PEX wasn't tested prior to finishing the walls it is certainly possible for someone to forget to crimp a fitting... UGH!

I'd remove the face plate/trim and take a flashlight and look inside the wall at the shower valve itself... see if you can see what has become loose. If you don't see anything loose at the valve it could be the issue is closer to the floor.

Either way it looks like you'll be opening the wall to resolve this. Hopefully, you have a closet or unfinished wall behind the valve. If needed, most home improvement stores sell access panels (see image) that are a simple SNAP fit... no need to tape and plaster and they look pretty darn good overall... ;) These can be wall papered or painted if needed.

Back to you for your thoughts...

Mark