I have noticed this a few times before but I have to say I still find it disappointing. I'm not sure if it is just a bug with the Valkyrian Aura or all the Auras in general.

It seems that sometimes enemy melee attacks can strike through the shield examples being Lumbers, Zombies, and Kats.

I feel cheated when I raise my Valkyrian Aura after getting froze by a Silversap and it kills me through the Valkyrian Aura AND my Ancient Plate shield (which for some reason doesn't even show that it tried to block the Strike).