Personally, I think shield icon is a bit misleading.
You see, its purpose is to warn you that an app or function you are about to execute requires elevated privileges which means that it'll put you at a higher level of risk while you are running it even if there are sane reasons for app to require admin rights.
IMHO something more of "alarm" kind of visuals would be more appropriate here since "shield" in my mind generally relates to something that *protects* or something that *is protected* - take Symantec Antivirus, Security Center or Windows Update icons for example. I understand that in Windows "shield" means "security-related" but still it's not the best visual for all security-related topics.
Not that it is a big issue, just a thought.
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Alexander Suhovey
Nico, I just want you to know how much better I sleep at night knowing I have shields on my executibles.

Windows evaluates the item and what context it needs to run in. If it is something that requires administative (elevated) priviledges, it will mark it with the shield icon.
Hope that answers your question.
Thx,
Nico