Especially in a higher level play, there can be a few reasons why this is.
Your unit composition shouldn't vary all the way from ground and air combined in most of the cases. What this means is that when you press the weapon/armor upgrade, you SHOULD be covering all your units with the said upgrade. If you do have an army comprised of both, you may be spreading yourself too thin. (also, benefits to the building shield could be argued but if you're leaving your buildings this vulnerable, you're doing something wrong. Otherwise, in most cases, you will not see a benefit from this shield upgrade)
Most units have more or same amount of hit points compared to shield (all except Archons and dark templars). This means that in a single battle, getting armor upgrade pays off more than shield upgrade since it can mitigate damage for more than what the shield can. There are special circumstances where your units can get away fast and you're utilizing a hit-and-run tactics where you might have enough time to restore the shield before the next engagement but even then the cost is quite high.
Every mineral/gas matters: shield upgrades cost 200/200 for first level compared to weapon/armor that's 100/100. Especially on a higher level play, every mineral and gas matters when you're about to click on your first upgrade. 200/200 investment is simply not worth it and just overbearing if you just consider the benefit to your core army which by this point should only be around 50~75 supply count at max.
If we also consider late game, the above points do apply in most cases but most of all, the cost really is QUITE A BIT especially on the gas side of things. You will want to spend a lot of gas on your top tier units such as templars and even at the end of the game, if you lose focus on your army composition and branch out some air and some ground, it usually doesn't end up great.