Does Retaliate go through Shield?
Yes. Retaliate damage is not an attack, so Shield does not reduce it.
Retaliate X deals X damage to a figure that attacks you, after that attack has fully resolved, including any push or pull.
Because the damage is not an attack and not a targeted effect, Shield cannot reduce it. A monster with Shield 2 that attacks a Retaliate 3 character still takes 3 damage.
Two more details that come up at the table: multiple Retaliate bonuses stack with each other, and if the retaliating figure is killed or exhausted by the attack, the retaliation does not happen at all.
“A retaliate bonus is not an attack or targeted effect, therefore the damage cannot be reduced by a shield bonus.”
Rules change with errata and with digital patches. If your copy of the book disagrees, the book wins — the official Frosthaven FAQ is the next place to look.