For a past action, we would need to know when it happened.
"She is not at the playground this evening. She went shopping half an hour ago." (We have moved from present tense to past tense, so we also need to change the time markers.)
I agree that "has gone" is more suitable, because we stay in the present timeframe:
"She is not at the playground this evening. She has gone shopping." (Remember that Present Perfect describes the present, not the past.)