Below is a chart that shows the weights of the different pieces of armor in New World, and which pieces you would wear in order to receive optimal mitigation for each weight class.

It's important to note that the shield does NOT provide any benefit in terms of attributes, perks, or mitigation unless you are actually using it. Simply having it equipped does not provide you with any benefits. It only adds weight to your load. Therefore, if you are running light or medium you do not need to have a shield equipped unless you planning on incorporating the sword and shield into your build.