The magnetic shield is to block the unnecessary magnetism. This shield blocks the external magnetism to the inductor, and also prevents magnetism inside the inductor from having any external affects. Murata's power inductors consist of magnetic shields (multilayer type), where the internal electrodes of the inductor are enclosed with a ferrite material, and the magnetic shield (wire wound type) where the wire winding is enclosed with a resin mixed with magnetic particles.
For inductors without a magnetic shield, please confirm whether the external magnetism particularly affects the inductor characteristics, or whether the magnetism of the component has any external affects.