RADIO station WOR granted a reprieve last week to Jean Shepherd, a nocturnal broadcaster scheduled for dismissal when he failed to attract enough sponsors. Executives of WOR were perplexed by the week's developments. They had not anticipated any widespread protests over the scheduled sacking of Mr. Shepherd. His Program, consisting of original and unorthodox comments on a wide range of subjects, interrupted occasionally by recordings, had been presented on the station for six months from 1 A. M. to 5:30 A. M. seven days a week. . .