Salesforce Shield is compatible with Field-Level Encryption in Marketing Cloud. If those features are activated, Marketing Cloud connect identifies fields protected by Salesforce Shield, decrypts the data, transmits it to Marketing Cloud (via a secured/encrypted connection) where it is re-encrypted by Field-Level encryption and stored in the Synchronized Data Extension.
However, if you don't use Field-Level Encryption in Marketing Cloud, the fields that are protected by Salesforce Shield in SFDC will be displayed as unencrypted plain text in Marketing Cloud!
Synchronized Data Sources supports Platform Encryption. [...] The Marketing Cloud encrypts fields identified as encrypted using Platform Encryption. [...] The Marketing Cloud re-encrypts this data using the Field-Level Encryption symmetric key upon import.
(Source: Salesforce Shield and Field-Level Encryption Compatibility)
However Journey Builder Events don't work in that manner and data would be stored unencrypted even if Field-Level Encryption and Salesforce Shield are in place.
In order to implement such a feature Salesforce Services need to be engaged before any setup/configuration is done in the Marketing Cloud instance.