Why are the shields not upgraded?

The problem you're having is that you aren't actually giving the shield any additional power.

In your screenshot, there are four unpowered nodes on your shields. Simply add power to those nodes by clicking on them (like you would to add power to any other part of your ship), and you will be able to fill those extra empty shield bars.

Each level of shield requires two power for the full effect, so you would need to add four more power to your shields.

It should look something like that.

You need to actually click on the shield icon on the bottom left to transfer power from "unused" to "shield".

A fully upgraded ship won't actually have enough power bars to power every component fully, forcing you to choose what you want to power. At the moment this isn't a problem for you. This is why it is not done automatically.