To be exact, we're talking about power inductor used in power switching circuit.
I guess most of the times the purpose of the shield is to reduce the magnetic interference to "other" components, CMIIW.
Reason, planning to use a reed relay switch that will be placed really close to the inductor in a very tight and space limited construction, and worry the moving magnet for the reed relay will affect badly to the power inductor.
Ok, why reed relay, the project is to build a totally sealed, water proof led flash light head, with an external switch that is made from a strong moving magnet outside of the flash light body.