Imagine a scenario like this...
You're shielding up during arena and you put a storm shield on just to have a Convert Storm to Myth put on you... what do you do?
You may be tempted to immediately shield against myth but that would be wrong. Once a convert is put on you shielding against the school of the convert type will not save you from getting hit. You must put ANOTHER storm shield (or tower shield) on. This is the only way to stop the strike from getting through completely.
In this example, if you're fighting storm, put a myth shield on fairly early, you can discard some after that but not all.