1) Shields are gained entirely through abilities (both active and passives), so the specifics depend on what units you are using. For example, some units have a "Defensive Aura" passive ability, which grants themselves and adjacent units a certain amount of shield when they defend. Normally, defending only gives extra defense.

2) Shields are like temporary extra health points. When you attack an enemy, your attack value is first reduced by defense. Then, the remaining amount is dealt as damage, damaging shields first, and then health if the shield was completely depleted by the attack. There are abilities which allow you to partially or completely negate defense (warmaster is particularly valuable), but no abilities which will bypass shields to directly damage health.

3) Except for the Necrophages, who have no limitations on attaching territories, you can only attach territories which are adjacent to an existing city. The location of the camp within the territory doesn't matter for attaching, just that the territory itself is adjacent to a existing city.

4) Quests will pacify all of the village(s) within a territory. To get their bonus, you need to "assimilate" them by making them a protectorate (which requires that you control a territory that they have villages in). The villages do not need to be within your city's territory, a camp is sufficient, but having assimilated villages within a city has extra benefits: they give you a pop of that minor faction, and they count as districts for extending your city's foundations and leveling up districts.