You probably still have CWM installed, to install an OTA you must first go back to the stock recovery. You can download it from here:
http://goo.im/devs/agrabren/shield/original_images/recovery.img
Put that file in your ADB folder
To flash it, connect to usb and enable ADB debugging.
on PC type:
adb reboot bootloader
-Wait to reboot-
fastboot flash recovery recovery.img
-Now you have stock recovery installed-
Reboot the shield normally and install the OTA update, it should work.
Your bootloader is still unlocked, but you don't have root.
To install CWM, just follow the same instructions but replace the stock image with the CWM recovery image. You can download that here:
http://goo.im/devs/agrabren/shield/cwm/recovery.img
The shield will be unrooted when you update. To root, simply flash CWM and reboot. CWM will ask you if you want to disable Stock reflashing, and if you want to root.
You may also need to flash the real SU zip from here:
http://download.chainfire.eu/396/SuperSU/UPDATE-SuperSU-v1.94.zip?retrieve_file=1
For me, I was not able to let the SU app install the binary's alone, (Normal, or CWM method) I had to flash the SU zip.
But the update is smooth, and everything is working. Just no SD write support obviously.