I started collecting the gaurd gear (shield, helmet and armor) from all 9 holds. I was only able to obtain one Winterhold shield. I killed the two gaurds roaming around what is left of Winterhold, which do not respawn like in other holds cities, and the gaurd in the Jarls chamber. That's it!! Has anyone else encountered this or know of another place to find it?

Just be there when a dragon attacks and let the gaurd take it on. One will probably die leaving his gear around, including his shield.