A number of buildings (tower, keep) require a 'shield' that is always in red. What is this item? Is it a limit that I've reached?

Yes, that is the limit of your military budget. Each military unit or defensive structure cost a number of shields. The total number of shields available depends on your population size. You can check this value by clicking on the population number above minimap.

The same goes for ships, there is a limit of ships you can build based on population size.