Have to say, I would also prefer seperate shields.
Easier to repose an arm than to file off a shield (and then repose/resculpt the arm).
Not saying it would, but it might affect how many of them I end up buying.
Also, if you have seperate shields, you could do shield packs for those of us who might like to spice up our Copplestone Picts so that they tie in a little bit better with your new figures.
If you like small scale skirmish, check out http://planetares6.blogspot.be/?m=0