Sehwan Museum is a small regional museum with material on the town's history and a section devoted to Lal Shahbaz Qalandar. It is not the kind of museum you cross a province for, but it helps put the shrine, fort, and older settlement into context.
Use it as a short stop between the shrine and the fort. In a town where most of the experience is outside in the street, the museum gives a useful pause and a bit of background.