When I attempt to upgrade my HQ to level 10, a message warning me that I will lose my shield and be..

This is a standard message in the game related to the initial protection that you get when you start. The protection expires after a certain amount of time or when you reach a set level. It's clearly a little glitched and still gives you the message even though you have already lost that protection. You can still carry on as normal and use shield items when you want to.

For more questions for Puzzles & Survival check out the answers page where you can search or ask your own question.