I doubt there is a big difference between 115 and 124gr rounds in a Shield, if so it is probably a quirk of the individual gun rather than S&W Shields generally.
Generally, I prefer 124gr 9mms in my handguns over 147gr or 115gr for defensive purposes, though I check through different gel test results for any individual loads I buy before I buy them since there can be quite a bit of variation from brand to brand and even line to line (say Federal HST vs. Federal Hydra Shok for instance). If one line's 115gr regularly performs better than the 124gr (which sometimes happens), I ignore what is "generally" the case. That said, generally, 115 will be driven faster, and sometimes with enough velocity that expansion interferes with the bullet's momentum enough that you don't get enough penetration while 124 generally can do both consistently. Though again, it depends from load to load, and I try to read over as many different gel test results as I can before I switch ammo (true in all calibers, but all the more important in 9mm and .38spl which rely so much on bullet design to be effective). The only other important criteria is how it works in your individual gun, if a bullet weight or a particular loading isn't accurate or reliable in your gun, obviously you should move on to something else.
