Yes, if the Exp. Share is turned on, then not only will party Pokémon share Exp, they will also gain the same EVs that the lead Pokémon gets. If you want to EV Train a bunch of identical Pokémon, then this is perfect. If not, then it is best to keep the Exp. Share powered off.
Source: Experience (I had suspicions, the I tested them and they were true)