It's annoying, destroys the purpose of a shield when I see that im pierced anyways.

The closest I can think of this is a mod that would make arrows bounce off your shield, even then I'm not sure if that's easy. If it does exist, I'd be interested too.

That would be cool, but never seen a mod that does that. Maybe it would be possible to apply the effect of arrows bouncing off of skeletons to a shield.

Whether arrow is going to bounce or penetrate is defined in the mesh as a collision property. I am not sure though if shield keeps its own property or it is inherited from player so it need to be tested. If that works then mod creator will have to edit all meshes (nifskope should do it). One other solution is to make invisible collision mesh and create misc object then make script that will move and keep the object in the front of the player while blocking, that will be also able to block everything including magic missiles.