- Am I overthinking this? Should the shield just be a super component?
Maybe, depends on how reusable you want your code to be and if it makes sense.
- Should the shield be its own entity that tracks the location of the player?
Not unless this shield is some sort of creature that can walk around independently at some stage.
- Should the shield be a component that houses other components?
This sounds a lot like entity, so the answer is no.
- Should the shield just be a set of components that get added to the player?
It is likely.
"Damage reduction / filtering"
- core shield component functionality.
"A sprite"
- is there a reason you cannot add another SpriteComponent to your character entity (in other words more than one component of certain type per entity)?
"A collider"
- are you sure you need another one? This depends on your physics engine. Can you send a message to character entity's ColliderComponent and ask it to change shape?
"Boost player maximum health, health regen, projectile deflection etc."
- other artifacts might be able to do this (swords, boots, rings, spells/potions/visiting shrines etc.) so these should be components.
PS: I am not a pro, so it's all IMHO.