When I enable Shield, I get "Direct Access to this location is not allowed." error
If you get this error when you enable Shield, but when you disable it everything return back to normal, please note that this is not cased by Shield.
It could be a filesystems permissions problem. Perhaps something changed on disk to prevent a certain action happening on your webhost, or there's a filesystem error somewhere.
It's not caused by Shield, and if it is, it's likely butting up against a problem recently created on the webhost.