I used to work in Shanghai, but now I have been admitted to the civil service. What about the social security paid before?

Look at the place where you work now. If it is in the same place as the place where the social security was originally paid, you don't have to return it. After you are admitted to the civil service, tell your current unit your social security information, and the unit will give it to you. If you are admitted to a civil servant, the place where the unit pays you social security is different from the place where you paid it before, then there is no way out, because the social security is not transferred now. If you return it, you can only return the part you handed in. According to your local regulations, what the original unit gave you can't be returned.

Further reading: How to buy insurance, which is good, and teach you how to avoid these "pits" of insurance.