Kansas City's ace did his part on Sunday, surrendering five hits and no walks while striking out six over seven innings, but the Royals dropped the series finale to Chicago 5-1.
Shield's strong start was undone by the bullpen in the ninth inning as Tim Collins was saddled with three runs. He was pulled after recording just one out as Francisley Bueno proceeded to give up an RBI double to Alexei Ramirez and a two-run single to Tyler Flowers.
Chris Sale (2-0) allowed just four hits and one walk while striking out six over eight scoreless innings. Alex Gordon drove in Kansas City's only run in the ninth off Matt Lindstrom.
The Royals (2-3) did win their first challenge of the year when Ned Yost challenged Marcus Semien being called safe at first base.
Kansas City continues their homestand against Tampa Bay on Monday.