During the 'Field Test' segment, it is explained that the 'shield' has a highly sensitive sound detector that detects a gunshot and triggers activation of the device. As a bullet travels considerably faster then the sound wave from the gunshot that fired it, this device would be useless.
The final segment "Deadshot" shows Bruce Wayne and Alfred living in the manor. This movie takes place between Batman Begins (2005) and The Dark Knight (2008), during the period when Wayne Manor is being rebuilt. However the producers have acknowledged that the movie isn't necessarily meant to be canon to Christopher Nolan's trilogy and that any of the six segments could easily fall into almost any Batman continuity.