What’s the collision presets you have setup on it? My first reaction would be that the default collision set up on it is mucked up. I’ve had no issues having multiple collision components, so it makes me feel like the collision settings on the component were messed up. I’d consider testing in blueprint just by putting a sphere component on your character and seeing if it generates the hit events you expect and then try to replicate as many settings as you can to your C++ version.
This should still be possible the way I said. As long as you check that the hit component was the shield not your capsule you should be able to make yourself not take damage and destroy the projectile.