Communication technologies enable coordination among connected and autonomous vehicles (CAVs). However, it remains unclear how to utilize shared information to improve the safety and efficiency of the CAV system in dynamic and complicated driving scenarios. In this work, we propose a framework of constrained multi-agent reinforcement learning (MARL) with a parallel Safety Shield for CAVs in challenging driving scenarios that includes unconnected hazard vehicles. The coordination mechanisms of the proposed MARL include information sharing and cooperative policy learning, with Graph Convolutional Network (GCN)-Transformer as a spatial-temporal encoder that enhances the agent's environment awareness. The Safety Shield module with Control Barrier Functions (CBF)-based safety checking protects the agents from taking unsafe actions. We design a constrained multi-agent advantage actor-critic (CMAA2C) algorithm to train safe and cooperative policies for CAVs. With the experiment deployed in the CARLA simulator, we verify the performance of the safety checking, spatial-temporal encoder, and coordination mechanisms designed in our method by comparative experiments in several challenging scenarios with unconnected hazard vehicles. Results show that our proposed methodology significantly increases system safety and efficiency in challenging scenarios.