a) If you have a 2h weapon as second weapon set, you cannot wear a shield in the first weapon set. You must first remove the 2h weapon, change sets, put the shield, change sets again, then put the 2h weapon back.
b) If you use a shield on the second weapon set, you still get its status (def, armor, resists, life etc.), when you change back to the first set. Nice exploitable bug
.-- Edit --
The bug with second weapon set doesn't affect only shields. Any bonus from the weapon also applies.
