I'm not talking about whammies. Occasionally when you spend extended amounts of time in a slime casino, your shield will randomly just... Lose shield health. Sometimes it will lose all of its shield health, and since you can't take a hit with it anymore (goes straight to you), it simply doesn't recover. I've tested it when it takes only half your shield health - being hit recovers it, but once it's completely gone it's just gone for the rest of that level.
I can see a danger room from my casino and being shieldless isn't making it look too appealing.
I have never gotten my shield's health drained by rolling a casino wheel. I did not pay much attention to it before though so it might be the case that I had had that happen to me without noticing it. But ever since reading this (yesterday) I've been keeping an eye for that and my shield bar is always full health.