I was making an adventure map with commands, and searching in the Official Minecraft Wiki I found that shields can have Protection I-IV and Thorns I-III and Curse of Binding.

When I tried /enchant selecting my shield I couldn't add those enchantments, and then I added them using an anvil.

Actually I tried a lot of things, I also added Protection IV to a cookie with the anvil 

That's it. Cheers, and have a nice Christmas