Hello Thomas,
the Email Shield functionality is still present. You can find it now inside the Email Guardian feature. It is the "ONLY ON THIS MAC" part of the Email Guardian feature as it processes only emails downloaded via Mail client apps on the current device.
Onboarding into the ACROSS ALL DEVICES will scan the emails directly on your mail server and flag any problematic emails right there, so all your devices should be able to see the security status of the email. It does so only for new emails that you will receive and it will not retrospectively scan your entire mailbox.
Kind regards,
Jakub